Spectral analysis of high-frequency continuous-time ARMA models:
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2013
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| Schlagworte: | |
| Online-Zugang: | Volltext https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20130320-1120242-0-5 Inhaltsverzeichnis |
| Beschreibung: | II, 126 S. graph. Darst. |
Internformat
MARC
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| 245 | 1 | 0 | |a Spectral analysis of high-frequency continuous-time ARMA models |c Florian Andreas Fuchs |
| 264 | 1 | |c 2013 | |
| 300 | |a II, 126 S. |b graph. Darst. | ||
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| 650 | 0 | 7 | |a ARMA-Modell |0 (DE-588)4002933-5 |2 gnd |9 rswk-swf |
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Datensatz im Suchindex
| _version_ | 1804150262793764864 |
|---|---|
| adam_text | IMAGE 1
CONTENTS
1 INTRODUCTION 1
OUTLINE 3
2 NOISE RECOVERY AND RIEMANN SUM APPROXIMATIONS 5
2.1 INTRODUCTION 5
2.2 PRELIMINARIES TO CHAPTER 2 7
2.2.1 FINITE-VARIANCE CARMA PROCESSES 7
2.2.2 PROPERTIES OF HIGH-FREQUENCY SAMPLED CARMA PROCESSES . . . . 9 2.3
NOISE RECOVERY 11
2.4 HIGH-FREQUENCY BEHAVIOR OF APPROXIMATING RIEMANN SUMS 19
2.5 CONCLUSION 26
2.6 APPENDIX TO CHAPTER 2 27
3 LIMIT BEHAVIOR PERIODOGRAM 3 7
3.1 INTRODUCTION 37
3.2 MAIN RESULTS 41
3.2.1 MOVING AVERAGE STRUCTURE OF THE SAMPLED PROCESS 42
3.2.2 NORMALIZED PERIODOGRAM 45
3.2.3 SELF-NORMALIZED PERIODOGRAM 49
3.3 LATTICES IN R M AND THE MANIFOLDS . . . , U M ) 51
3.4 PROOFS OF CHAPTER 3 55
3.4.1 PROOFS OF SECTION 3.1 55
3.4.2 PROOFS OF SECTION 3.2.1 55
3.4.3 PROOFS OF SECTION 3.2.2 61
3.4.4 PROOFS OF SECTION 3.2.3 71
3.4.5 PROOFS OF SECTION 3.3 78
4 SPECTRAL ESTIMATES 8 5
4.1 INTRODUCTION 85
HTTP://D-NB.INFO/1036711463
IMAGE 2
4.2 PRELIMINARIES TO CHAPTER 4 . . . - 89
4.2.1 LEVY-DRIVEN CARMA PROCESSES 89
4.2.2 DECOMPOSITION OF THE SMOOTHED (SELF-NORMALIZED) PERIODOGRAM . 90
4.3 LIMIT, BEHAVIOR OF THE SMOOTHED PERIODOGRAM 92
4.4 ESTIMATION OF THE CARMA PARAMETERS 96
4.5 PROOFS OF CHAPTER 4 99
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| any_adam_object | 1 |
| author | Fuchs, Florian Andreas |
| author_facet | Fuchs, Florian Andreas |
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| author_variant | f a f fa faf |
| building | Verbundindex |
| bvnumber | BV040954803 |
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| dewey-full | 519.23 |
| dewey-hundreds | 500 - Natural sciences and mathematics |
| dewey-ones | 519 - Probabilities and applied mathematics |
| dewey-raw | 519.23 |
| dewey-search | 519.23 |
| dewey-sort | 3519.23 |
| dewey-tens | 510 - Mathematics |
| discipline | Mathematik |
| format | Thesis Book |
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| spelling | Fuchs, Florian Andreas Verfasser aut Spectral analysis of high-frequency continuous-time ARMA models Florian Andreas Fuchs 2013 II, 126 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier München, Techn. Univ., Diss., 2013 Lévy-Prozess (DE-588)4463623-4 gnd rswk-swf Spektralanalyse Stochastik (DE-588)4056125-2 gnd rswk-swf ARMA-Modell (DE-588)4002933-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content ARMA-Modell (DE-588)4002933-5 s Spektralanalyse Stochastik (DE-588)4056125-2 s Lévy-Prozess (DE-588)4463623-4 s DE-604 Erscheint auch als Online-Ausgabe urn:nbn:de:bvb:91-diss-20130320-1120242-0-5 http://mediatum.ub.tum.de/node?id=1120242 Verlag kostenfrei Volltext https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20130320-1120242-0-5 Resolving-System DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025933270&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Fuchs, Florian Andreas Spectral analysis of high-frequency continuous-time ARMA models Lévy-Prozess (DE-588)4463623-4 gnd Spektralanalyse Stochastik (DE-588)4056125-2 gnd ARMA-Modell (DE-588)4002933-5 gnd |
| subject_GND | (DE-588)4463623-4 (DE-588)4056125-2 (DE-588)4002933-5 (DE-588)4113937-9 |
| title | Spectral analysis of high-frequency continuous-time ARMA models |
| title_auth | Spectral analysis of high-frequency continuous-time ARMA models |
| title_exact_search | Spectral analysis of high-frequency continuous-time ARMA models |
| title_full | Spectral analysis of high-frequency continuous-time ARMA models Florian Andreas Fuchs |
| title_fullStr | Spectral analysis of high-frequency continuous-time ARMA models Florian Andreas Fuchs |
| title_full_unstemmed | Spectral analysis of high-frequency continuous-time ARMA models Florian Andreas Fuchs |
| title_short | Spectral analysis of high-frequency continuous-time ARMA models |
| title_sort | spectral analysis of high frequency continuous time arma models |
| topic | Lévy-Prozess (DE-588)4463623-4 gnd Spektralanalyse Stochastik (DE-588)4056125-2 gnd ARMA-Modell (DE-588)4002933-5 gnd |
| topic_facet | Lévy-Prozess Spektralanalyse Stochastik ARMA-Modell Hochschulschrift |
| url | http://mediatum.ub.tum.de/node?id=1120242 https://nbn-resolving.org/urn:nbn:de:bvb:91-diss-20130320-1120242-0-5 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025933270&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT fuchsflorianandreas spectralanalysisofhighfrequencycontinuoustimearmamodels |