Search Results - subject:"linear transformations"

The multivariate supOU stochastic volatility model

Barndorff-Nielsen, Ole Eiler; Stelzer, Robert - School of Economics and Management, University of Aarhus - 2009

model as well as the simple Ornstein-Uhlenbeck type stochastic volatility model behave under linear transformations. In … particular, the models are shown to be preserved under invertible linear transformations. Finally, we discuss how (sup … particular, the models are shown to be preserved under invertible linear transformations. Finally, we discuss how (sup …

Persistent link: https://www.econbiz.de/10008566316

Computing the best linear predictor in a Hilbert space. Applications to general ARMAH processes

Bosq, D. - In: Journal of Multivariate Analysis 124 (2014) C, pp. 436-450

This article deals with linear prediction in large dimensions. One obtains various explicit forms of the best linear predictor in a Hilbert space. The difficulty comes from the fact that the associated linear operator is, in general, not continuous. Applications to ARMAH processes, models with...

Persistent link: https://www.econbiz.de/10010737768

Implementing quasi-Monte Carlo simulations with linear transformations

Sabino, Piergiacomo - In: Computational Management Science 8 (2011) 1, pp. 51-74

Persistent link: https://www.econbiz.de/10008925148