Ambit fields: survey and new challenges

In this paper we present a survey on recent developments in the study of ambit fields and point out some open problems. Ambit fields is a class of spatio-temporal stochastic processes, which by its general structure constitutes a exible model for dynamical structures in time and/or in space. We will review their basic probabilistic properties, main stochastic integration concepts and recent limit theory for high frequency statistics of ambit fields.

MoreLess

Year of publication:	2014-12-10
Authors:	Podolskij, Mark
Institutions:	School of Economics and Management, University of Aarhus
Subject:	Ambit fields \| high frequency data \| limit theorems \| numerical schemes \| stochastic integration

More details

Extent:	application/pdf
Series:	CREATES Research Papers.
Type of publication:	Book / Working Paper
Notes:	3 pages long
Classification:	C10 - Econometric and Statistical Methods: General. General ; C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011098646