Results 91 to 100 of about 171,053 (214)

A finite dimensional approximation for pricing moving average options [PDF]

arXiv, 2010
We propose a method for pricing American options whose pay-off depends on the moving average of the underlying asset price. The method uses a finite dimensional approximation of the infinite-dimensional dynamics of the moving average process based on a truncated Laguerre series expansion.
arxiv  

A central limit theorem for the sample autocorrelations of a Lévy driven continuous time moving average process [PDF]

arXiv, 2012
In this article we consider L\'evy driven continuous time moving average processes observed on a lattice, which are stationary time series. We show asymptotic normality of the sample mean, the sample autocovariances and the sample autocorrelations. A comparison with the classical setting of discrete moving average time series shows that in the last ...
arxiv  

Almost Sure Continuity of Stable Moving Average Processes with Index Less Than One [PDF]

, 1988
A. A. Balkema, Laurens de Haan
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‘Recursive estimation of mixed autoregressive-moving average order’ [PDF]

, 1983
E. J. HANNAN, J. RISSANEN
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Boosting Diffusion Models with Moving Average Sampling in Frequency Domain [PDF]

arXiv
Diffusion models have recently brought a powerful revolution in image generation. Despite showing impressive generative capabilities, most of these models rely on the current sample to denoise the next one, possibly resulting in denoising instability.
arxiv  

Testing Moving Average Against Autoregressive Disturbances in the Li near-Reg ression Model [PDF]

, 1991
Paramsothy Silvapulle, Maxwell L. King
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Mov-Avg: Codeless time series analysis using moving averages [PDF]

arXiv
This paper introduces Mov-Avg, the Python software package for time series analysis that requires little computer programming experience from the user. The package allows the identification of trends, patterns, and the prediction of future events based on data collected over time.
arxiv  

Stable processes: moving averages versus fourier transforms [PDF]

, 1993
Stamatis Cambanis, Christian Houdré
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On the asymptotic expansion of the empirical process of long-memory moving averages [PDF]

, 1996
Hwai-Chung Ho, Tailen Hsing
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A Fubini-type limit theorem for the integrated hyperuniform infinitely divisible moving averages [PDF]

arXiv
This short note shows a limiting behavior of integrals of some centered antipersistent stationary infinitely divisible moving averages as the compact integration domain in $d\ge 1$ dimensions extends to the whole positive quadrant $\mathbb{R}^d_+$. Namely, the weak limit of their finite dimensional distributions is again a moving average with the same ...
arxiv