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On the Structure and Estimation of Reflection Positive Processes
Published online by Cambridge University Press: 14 July 2016
Abstract
The class of processes formed as the aggregation of Ornstein-Uhlenbeck processes has proved useful in modeling time series from a number of areas and includes several interesting special cases. This paper examines the second-order properties of this class. Bounds on the one-step prediction error variance are proved and consistency of the minimum contrast estimation is demonstrated.
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- Research Article
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- Copyright © Applied Probability Trust 2008
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