Modelling and Prediction of Financial Time Series |
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Authors: | N. H. Bingham |
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Affiliation: | 1. Mathematics Department , Imperial College , London , United Kingdom n.bingham@ic.ac.uk |
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Abstract: | We consider statistical aspects of the modelling and prediction theory of time series in one and many dimensions. We discuss Lévy-based and general models, and the stationary and non-stationary cases. Our starting point is the recent pair of surveys, Szeg'ó's theorem and its probabilistic descendants and Multivariate prediction and matrix Szeg'ó theory, by this author. |
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Keywords: | Elliptic distribution Ergodic diffusion Lévy process Ornstein-Uhlenbeck process Prediction Semi-parametric model Stationary Time series |
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