Detecting and estimating intensity of jumps for discretely observed ARMAD(1,1) processes-Reference-Cited by-同舟云学术

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Detecting and estimating intensity of jumps for discretely observed ARMAD(1,1) processes

Published:2016-04 Issue: Volume:146 Page:119-137
ISSN:0047-259X
Container-title:Journal of Multivariate Analysis
language:en
Short-container-title:Journal of Multivariate Analysis

Author:

Blanke D.,Bosq D.

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference56 articles.

1. Fisher’s information for discretely sampled Lévy processes;Aït-Sahalia;Econometrica,2008

2. Estimating the degree of activity of jumps in high frequency data;Aït-Sahalia;Ann. Statist.,2009

3. Prévision d’un processus à valeurs fonctionnelles en présence de non stationnarités. Application à la consommation d’électricité;Antoniadis;J. SFdS,2012

4. Modelling electricity futures by ambit fields;Barndorff-Nielsen;Adv. Appl. Probab.,2014

5. Autoregressive forecasting of some climatic variation;Besse;Scand. J. Stat.,2000

Cited by 3 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Prediction of air pollutants PM10 by ARBX(1) processes;Stochastic Environmental Research and Risk Assessment;2019-08-05

2. Estimating jump intensity and detecting jump instants in the context of p derivatives;Comptes Rendus Mathematique;2016-07

3. An introduction to recent advances in high/infinite dimensional statistics;Journal of Multivariate Analysis;2016-04

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