ATM transaction simulation: combination of ACDs and cox process

Two main approaches for analyzing the ultra-frequency data such as ATM (auto teller machine) transaction are Cox process and autoregressive conditional durations (ACDs). This paper combines both models and proposes some simulated results. The functional data analysis proposes useful method for model...

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Vydané v:Journal of numerical analysis and approximation theory Ročník 54; číslo 1; s. 89 - 99
Hlavný autor: Habibi, Reza
Médium: Journal Article
Jazyk:English
Vydavateľské údaje: Publishing House of the Romanian Academy 30.06.2025
ISSN:2457-6794, 2501-059X
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Abstract Two main approaches for analyzing the ultra-frequency data such as ATM (auto teller machine) transaction are Cox process and autoregressive conditional durations (ACDs). This paper combines both models and proposes some simulated results. The functional data analysis proposes useful method for modeling the intensity of Cox process. A real data set is also proposed. Conclusions are also given.
AbstractList Two main approaches for analyzing the ultra-frequency data such as ATM (auto teller machine) transaction are Cox process and autoregressive conditional durations (ACDs). This paper combines both models and proposes some simulated results. The functional data analysis proposes useful method for modeling the intensity of Cox process. A real data set is also proposed. Conclusions are also given.
Author Habibi, Reza
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