Displaying similar documents to “Extrapolations in non-linear autoregressive processes”

Extrapolation in fractional autoregressive models

Jiří Anděl, Georg Neuhaus (1998)

Kybernetika

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The naïve and the least-squares extrapolation are investigated in the fractional autoregressive models of the first order. Some explicit formulas are derived for the one and two steps ahead extrapolation.

Potentials of a Markov process are expected suprema

Hans Föllmer, Thomas Knispel (2007)

ESAIM: Probability and Statistics

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Expected suprema of a function  observed along the paths of a nice Markov process define an excessive function, and in fact a potential if  vanishes at the boundary. Conversely, we show under mild regularity conditions that any potential admits a representation in terms of expected suprema. Moreover, we identify the maximal and the minimal representing function in terms of probabilistic potential theory. Our results are motivated by the work of El Karoui and Meziou (2006) on the max-plus...