The first part of the paper gives a multitude of essentially different representations of a stationary stochastic process. The second part gives a sufficient condition for the sum of two oscillatory ...

This course is compulsory on the BSc in Actuarial Science. This course is available on the BSc in Business Mathematics and Statistics, BSc in Financial Mathematics and Statistics, BSc in Mathematics ...

Affine processes provide a versatile framework for modelling complex financial phenomena, ranging from interest rate dynamics to credit risk and beyond. Their defining characteristic is the affine, or ...

The spectral factorization problem was solved in Hallin (1984) for the class of (non-stationary) m-variate MA(q) stochastic processes, i.e. the class of second-order q-dependent processes. It was ...

A stationary stochastic process where the current value of the time series is related to the past p values, where p is any integer, is called an AR(p) process. When the current value is related to the ...