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 |
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| Hlavný autor: | |
| Médium: | Journal Article |
| Jazyk: | English |
| Vydavateľské údaje: |
Publishing House of the Romanian Academy
30.06.2025
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| ISSN: | 2457-6794, 2501-059X |
| On-line prístup: | Získať plný text |
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| Shrnutí: | 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. |
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| ISSN: | 2457-6794 2501-059X |
| DOI: | 10.33993/jnaat541-1435 |