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Stochastic Process
Stochastic Process
12
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Definitions
Gaussian Process
Gaussian Process
Stochastic Process
Econometrics
Statistics
Stationary normally distributed stochastic process.
Read more about Gaussian Process.
Definitions
Stochastic Volatility
Finance
Derivatives
Volatility
Stochastic Process
Economics
A detailed exploration of stochastic volatility in financial economics, its implications, and applications.
Read more about Stochastic Volatility.
Definitions
Continuous Time Process
Continuous Time Process
Stochastic Process
Economics
An overview of the continuous time process as a stochastic process in economics.
Read more about Continuous Time Process.
Definitions
Frequency Domain Analysis
Economics
Time Series
Frequency Domain
Spectral Density
Stochastic Process
An approach in time series econometrics used to analyze the properties and characteristics of a stochastic process using its spectral density.
Read more about Frequency Domain Analysis.
Definitions
Kalman Filter
Kalman Filter
Optimal Estimation
Stochastic Process
A recursive algorithm for optimal estimation and prediction of state variables in a stochastic process.
Read more about Kalman Filter.
Definitions
Martingale
Stochastic Process
Econometrics
Mathematical Finance
Probability Theory
A stochastic process where the expected future value of a variable, given the current information, is equal to its current value.
Read more about Martingale.
Definitions
Nonstationary Process
Economics
Stochastic Process
Nonstationarity
Time Series
A stochastic process whose statistical properties change over time.
Read more about Nonstationary Process.
Definitions
Random Process
Random Process
Stochastic Process
Economics
An examination of random processes, also known as stochastic processes, in economic analysis.
Read more about Random Process.
Definitions
Random Walk
Economics
Stochastic Process
Unit Root Process
Random Walk
A detailed entry about the term Random Walk, including its definition, historical context, and analytical frameworks in economics.
Read more about Random Walk.
Definitions
Strongly Stationary Process
Strongly Stationary Process
Stochastic Process
Stationarity
Econometrics
Time Series Analysis
An overview of strongly stationary processes in the context of stochastic processes.
Read more about Strongly Stationary Process.
Definitions
White Noise
Economics
Stochastic Process
Variance
Autocorrelation
A stochastic process with zero mean, constant variance, and zero autocorrelation
Read more about White Noise.
Definitions
Wold’s Decomposition Theorem
Economics
Time Series Analysis
Stochastic Process
A fundamental theorem in time series analysis that decomposes a zero-mean covariance stationary stochastic process into a deterministic and a non-deterministic part.
Read more about Wold’s Decomposition Theorem.
Economics Terms Lexicon
Ultimate Dictionary of Economics and Beyond.
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