Stochastic analysis of GSB process
Samo za registrovane korisnike
2014
Članak u časopisu (Objavljena verzija)
Metapodaci
Prikaz svih podataka o dokumentuApstrakt
We present a modification (and partly a generalization) of STOPBREAK process, which is the stochastic model of time series with permanent, emphatic fluctuations. The threshold regime of the process is obtained by using, so called, noise indicator. Now, the model, named the General Split- BREAK (GSB) process, is investigated in terms of its basic stochastic properties. We analyze some necessary and sufficient conditions of the existence of stationary GSB process, and we describe its correlation structure. Also, we define the sequence of the increments of the GSB process, named Split-MA process. Besides the standard investigation of stochastic properties of this process, we also give the conditions of its invertibility.
Ključne reči:
GSB process / STOPBREAK process / noise-indicator / split-MA process / stationarity / invertibilityIzvor:
Publications de l'Institut Mathématique, 2014, 95, 109, 149-159Izdavač:
- Belgrade : Mathematical Institute of the Serbian Academy of Sciences and Arts = Beograd : Matematički institut SANU
Institucija/grupa
JakovTY - JOUR AU - Stojanović, Vladica AU - Popović, Biljana AU - Popović, Predrag PY - 2014 UR - https://jakov.kpu.edu.rs/handle/123456789/1686 AB - We present a modification (and partly a generalization) of STOPBREAK process, which is the stochastic model of time series with permanent, emphatic fluctuations. The threshold regime of the process is obtained by using, so called, noise indicator. Now, the model, named the General Split- BREAK (GSB) process, is investigated in terms of its basic stochastic properties. We analyze some necessary and sufficient conditions of the existence of stationary GSB process, and we describe its correlation structure. Also, we define the sequence of the increments of the GSB process, named Split-MA process. Besides the standard investigation of stochastic properties of this process, we also give the conditions of its invertibility. PB - Belgrade : Mathematical Institute of the Serbian Academy of Sciences and Arts = Beograd : Matematički institut SANU T2 - Publications de l'Institut Mathématique T1 - Stochastic analysis of GSB process VL - 95 IS - 109 SP - 149 EP - 159 DO - 10.2298/PIM1409149S ER -
@article{ author = "Stojanović, Vladica and Popović, Biljana and Popović, Predrag", year = "2014", abstract = "We present a modification (and partly a generalization) of STOPBREAK process, which is the stochastic model of time series with permanent, emphatic fluctuations. The threshold regime of the process is obtained by using, so called, noise indicator. Now, the model, named the General Split- BREAK (GSB) process, is investigated in terms of its basic stochastic properties. We analyze some necessary and sufficient conditions of the existence of stationary GSB process, and we describe its correlation structure. Also, we define the sequence of the increments of the GSB process, named Split-MA process. Besides the standard investigation of stochastic properties of this process, we also give the conditions of its invertibility.", publisher = "Belgrade : Mathematical Institute of the Serbian Academy of Sciences and Arts = Beograd : Matematički institut SANU", journal = "Publications de l'Institut Mathématique", title = "Stochastic analysis of GSB process", volume = "95", number = "109", pages = "149-159", doi = "10.2298/PIM1409149S" }
Stojanović, V., Popović, B.,& Popović, P.. (2014). Stochastic analysis of GSB process. in Publications de l'Institut Mathématique Belgrade : Mathematical Institute of the Serbian Academy of Sciences and Arts = Beograd : Matematički institut SANU., 95(109), 149-159. https://doi.org/10.2298/PIM1409149S
Stojanović V, Popović B, Popović P. Stochastic analysis of GSB process. in Publications de l'Institut Mathématique. 2014;95(109):149-159. doi:10.2298/PIM1409149S .
Stojanović, Vladica, Popović, Biljana, Popović, Predrag, "Stochastic analysis of GSB process" in Publications de l'Institut Mathématique, 95, no. 109 (2014):149-159, https://doi.org/10.2298/PIM1409149S . .