My Math Forum Continuous time moving average process

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 December 20th, 2012, 06:00 AM #1 Newbie   Joined: Dec 2012 Posts: 1 Thanks: 0 Continuous time moving average process Hi all, I have problems to understand the continuous time moving average process. I have no problem with the autoregressive process. the discrete time moving average is: D(t)=D(t-1).exp?(DW.DM(t)+DX.I(t)+DMU+DY.YE(t-1)+DB.DE(t-1)+DE(t) ln?D(t)-lnD(t-1)= DW.DM(t)+DX.I(t)+DMU+DY.YE(t-1)+DB.DE(t-1)+DE(t) DM(t)=DD.I(t)+(1-DD).DM(t-1) DE(t)=DSD.DZ(t) DZ(t) ~ iid N(0,1) if AR model, the general form of SDE is by using Ornstein Uhlenbeck. Thanks for your help!

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