This paper is concerned with the discrete time stochastic volatility model Yi=exp(Xi/2)[eta]i, Xi+1=b(Xi)+[sigma](Xi)[xi]i+1, where only (Yi) is observed. The model is rewritten as a particular hidden model: Zi=Xi+[epsilon]i, Xi+1=b(Xi)+[sigma](Xi)[xi]i+1, where ([xi]i) and ([epsilon]i) are...

An infinite-order asymptotic expansion is given for the autocovariance function of a general stationary long-memory process with memory parameter d[set membership, variant](-1/2,1/2). The class of spectral densities considered includes as a special case the stationary and invertible...

Assume we are asked to predict a real-valued variable yt based on certain characteristics , and on a database consisting of for i=1,...,n. Analogical reasoning suggests to combine past observations of x and y with the current values of x to generate an assessment of y by similarity-weighted...