Artículos

Artículos Encontrados 12 registros  anterior11 - 12  ir al registro: La búsqueda tardó 0.00 segundos. 
11.
14 p, 93.6 KB Asymptotically optimal filtering in linear systems with fractional Brownian noises / Breton, Alain Le (Université J. Fourier) ; Kleptsyna, Marina L. (Université du Maine) ; Viot, Michel (Université J. Fourier)
In this paper, the filtering problem is revisited in the basic Gaussian homogeneous linear system driven by fractional Brownian motions. We exhibit a simple approximate filter which is asymptotically optimal in the sense that, when the observation time tends to infinity, the variance of the corresponding filtering error converges to the same limit as for the exact optimal filter.
2004
SORT : statistics and operations research transactions, Vol. 28, Núm. 2 (July-December 2004) , p. 177-190  
12.
14 p, 484.3 KB Modelling stock returns with AR-GARCH processes / Ferenstein, Elzbieta ; Gasowski, Miroslaw
Financial returns are often modelled as autoregressive time series with random disturbances having conditional heteroscedastic variances, especially with GARCH type processes. GARCH processes have been intensely studying in financial and econometric literature as risk models of many financial time series. [...]
2004
SORT : statistics and operations research transactions, Vol. 28, Núm. 1 (January-June 2004) , p. 55-68  

Artículos : Encontrados 12 registros   anterior11 - 12  ir al registro:
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