Abstract
A stochastic process or random process consists of chronologically ordered random variables {X t ; t ≥ 0}. For simplicity we assume that the process starts at time t = 0 in X 0 = 0. In this chapter, we consider exclusively processes in discrete time, i.e. processes which are observed at equally spaced points time t = 0, 1, 2,.... Typical examples are daily, monthly or yearly observed economic data as stock prices, rates of unemployment or sales figures.
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© 2011 Springer-Verlag Berlin Heidelberg
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Franke, J., Härdle, W.K., Hafner, C.M. (2011). Stochastic Processes in Discrete Time. In: Statistics of Financial Markets. Universitext. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-16521-4_4
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DOI: https://doi.org/10.1007/978-3-642-16521-4_4
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Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-16520-7
Online ISBN: 978-3-642-16521-4
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