An abelian way approach to study random extended intervals and their ARMA processes

Babel Kamdem, Jules Sadefo Kamdem and Carlos Ogouyandjou
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Babel Kamdem: Université de Douala
Carlos Ogouyandjou: IMSP - Institut de Mathématiques et de Sciences Physiques - UAC - Université d’Abomey-Calavi = University of Abomey Calavi

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Abstract: An extended interval is a range A = [A, A] where A may be bigger than A. This is not really natural, but is what has been used as the definition of an extended interval so far. In the present work we introduce a new, natural, and very intuitive way to see an extended interval. From now on, an extended interval is a subset of the Cartesian product R × Z2, where Z2 = {0, 1} is the set of directions; the direction 0 is for increasing intervals, and the direction 1 for decreasing ones. For instance, [3, 6] × {1} is the decreasing version of [6, 3]. Thereafter, we introduce on the set of extended intervals a family of metrics dγ, depending on a function γ(t), and show that there exists a unique metric dγ for which γ(t)dt is what we have called an "adapted measure". This unique metric has very good properties, is simple to compute, and has been implemented in the software R. Furthermore, we use this metric to define variability for random extended intervals. We further study extended interval-valued ARMA time series and prove the Wold decomposition theorem for stationary extended interval-valued times series.

Keywords: Random set; Random extended interval; Distance; Measure; Time series (search for similar items in EconPapers)
Date: 2024-03-13
New Economics Papers: this item is included in nep-ets and nep-mac
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Published in Data Science in Finance and Economics, 2024, 4, pp.132 - 159. ⟨10.3934/dsfe.2024005⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-04506343

DOI: 10.3934/dsfe.2024005

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