Proposes Lévy-driven grOU models for edge-indexed network time series, extending GNAR processes to continuous time with MLE estimation, asymptotic results, simulations, and financial data application showing improved forecasting.
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Edge-indexed network time series with graph Ornstein-Uhlenbeck dynamics
Proposes Lévy-driven grOU models for edge-indexed network time series, extending GNAR processes to continuous time with MLE estimation, asymptotic results, simulations, and financial data application showing improved forecasting.