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Bounds for the probability distribution function of the linear ACD process. (English) Zbl 1097.62080
Summary: This paper derives both lower and upper bounds for the probability distribution function of stationary Autoregressive Conditional Duration, ACD(\(p,q\)) processes. For the purpose of illustration, the author specializes the results to the main parent distributions in duration analysis. Simulations show that the lower bound is much tighter than the upper bound.
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05 Applications of statistics to actuarial sciences and financial mathematics
91B28 Finance etc. (MSC2000)
Full Text: DOI
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