5 papers
A Comparison of High-Dimensional Variable Selection Procedures for Electricity Spot Price Forecasting
Charisios Grivas, Mikkel Mandrup, Orimar Sauri
The paper considers the problem of variable selection for forecasting electricity spot prices. High-dimensional methods such as LASSO and Elastic Net are widely used for this purpo…
Estimating non-linear functionals of trawl processes
Orimar Sauri
Trawl processes are a family of continuous-time, infinitely divisible, stationary processes whose correlation structure is entirely characterized by their so-called trawl function.…
Nonparametric estimation of trawl processes: Theory and applications
Orimar Sauri, Almut E. D. Veraart
Trawl processes belong to the class of continuous-time, strictly stationary, infinitely divisible processes; they are defined as Levy bases evaluated over deterministic trawl sets.…
Path properties of Lévy driven mixed moving average processes
Danijel Grahovac, Péter Kevei, Orimar Sauri
We derive general sufficient conditions for the existence of cà dlà g and continuous modifications of Lévy-driven mixed moving average processes. The conditions are explicit and e…
The Euler Scheme for Fractional Stochastic Delay Differential Equations with Additive Noise
Orimar Sauri
In this paper we consider the Euler-Maruyama scheme for a class ofstochastic delay differential equations driven by a fractional Brownian motion with index . We establis…