Episode #125 of the Stack Overflow podcast is here. We talk Tilde Club and mechanical keyboards. Listen now

All Questions

Filter by
Sorted by
Tagged with
1
vote
0answers
31 views

Correspondence between time series models in continuous vs. discrete time

I am interested in an overview over the connection and correspondence between time series models in continuous vs. discrete time in finance. E.g. take ARMA(p,q) or GARCH(s,r) or ARMA(p,q)-GARCH(s,r) ...
3
votes
1answer
145 views

Continuous time Fourier representation

I have learned that the Fourier transform of a continuous-time unit-periodic stochastic process is: $$x(t) = \sum\limits_{k=-\infty}^{\infty} a_k e^{i2\pi kt} \quad \quad \text{ where } \quad \quad ...
0
votes
1answer
66 views

Simulating a (discretized) Cox process via binomial sampling

Let X be a Cox process (doubly-stochastic Poisson process) driven by a Poisson process with fixed intensity(rate) $\lambda=50$ , and choose some small time interval $dt=0.01$ . Is the proper way to ...
0
votes
0answers
42 views

Average and Variance of the Rate of Change in a Continuous Variance

I have a continuous variable, $P_t$ whose evolution is unknown. However, I obtain a history of it i.e. $P_0, P_{dt}, P_{2dt}, ...... , P_T$. For a continuous process variable, I know that the rate of ...
3
votes
0answers
50 views

Modeling by means of a negative binomial process

The negative binomial distribution with parameters $p\in(0,1)$ and $t>0$ is sometimes defined as the distribution of the number of failures before the $t$th success. This is supported on the set $\{...