Displaying similar documents to “Existence of a positively homogeneous and translation invariant continuous certainty equivalent.”

On random processes as an implicit solution of equations

Petr Lachout (2017)

Kybernetika

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Random processes with convenient properties are often employed to model observed data, particularly, coming from economy and finance. We will focus our interest in random processes given implicitly as a solution of a functional equation. For example, random processes AR, ARMA, ARCH, GARCH are belonging in this wide class. Their common feature can be expressed by requirement that stated random process together with incoming innovations must fulfill a functional equation. Functional dependence...