Defining Probability Measures for Time Series

  • Jan Beran


$$\displaystyle\text{Time series model}=\left ( \varOmega ,\mathcal {F},P\right )$$
$$\displaystyle\varOmega =\left ( \mathbb {R}^{k}\right ) ^{T}=\text{space of functions} \ X:T\rightarrow \mathbb {R}^{k}\text{ (}k\in \mathbb {N},T\subseteq \mathbb {R}\text{)}$$
$$\displaystyle P=\text{probability distribution on}\ \left ( \varOmega ,\mathcal {F}\right )$$


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Authors and Affiliations

  • Jan Beran
    • 1
  1. 1.Department of Mathematics and StatisticsUniversity of KonstanzKonstanzGermany

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