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December 20th, 2012, 06:00 AM   #1
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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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