The exact discrete model of a system of linear stochastic differential equations driven by fractional noise
| dc.contributor.author | Simos, Theodore | en |
| dc.date.accessioned | 2015-11-24T17:05:27Z | |
| dc.date.available | 2015-11-24T17:05:27Z | |
| dc.identifier.uri | https://olympias.lib.uoi.gr/jspui/handle/123456789/11325 | |
| dc.rights | Default Licence | - |
| dc.subject | Stochastic differential equations, fractional noise, long memory, exact discretization | en |
| dc.title | The exact discrete model of a system of linear stochastic differential equations driven by fractional noise | en |
| heal.abstract | This paper derives the exact discrete model (EDM) of a kth-order system of stochastic differential equations driven by a vector fractional noise under fixed initial conditions. The EDM can be used for the Gaussian estimation and forecasting with longmemory discrete-time equispaced data. Detailed formulae which are necessary for the construction and numerical evaluation of the Gaussian likelihood under two observation schemes are established. State variables can be observed either at equispaced points in time or as integrals over the observational interval. | en |
| heal.access | campus | - |
| heal.fullTextAvailability | TRUE | - |
| heal.identifier.primary | 10.1111/j.1467-9892.2008.00593.x | - |
| heal.journalName | Journal of Time Series Analysis | en |
| heal.journalType | peer reviewed | - |
| heal.language | en | - |
| heal.publicationDate | 2008 | - |
| heal.publisher | Blackwell Publishing | en |
| heal.recordProvider | Πανεπιστήμιο Ιωαννίνων. Σχολή Οικονομικών και Κοινωνικών Επιστημών. Τμήμα Οικονομικών Επιστημών | el |
| heal.type | journalArticle | - |
| heal.type.el | Άρθρο Περιοδικού | el |
| heal.type.en | Journal article | en |
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