Embedding in law of discrete time ARMA processes in continuous time stationary processes

DOI10.1016/j.jspi.2018.01.004zbMath1432.62287OpenAlexW2789294954MaRDI QIDQ1643804

Alejandra Cabaña, Enrique M. Cabaña, Argimiro A. Arratia

Publication date: 20 June 2018

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2117/121525

zbMATH Keywords

embeddingLévy processstationary processesCARMAcontinuous-time ARMAdiscrete-time ARMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Uses Software

• itsmr

Cites Work

• Unnamed Item
• CARMA\((p,q)\) generalized random processes
• ON EMBEDDING A DISCRETE-PARAMETER ARMA MODEL IN A CONTINUOUS-PARAMETER ARMA MODEL
• Introduction to Time Series and Forecasting
• A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL
• Representations of continuous-time ARMA processes
• A NOTE ON THE EMBEDDING OF DISCRETE‐TIME ARMA PROCESSES
• A Class of Non-Embeddable ARMA Processes
• Embedding a Gaussian discrete‐time autoregressive moving average process in a Gaussian continuous‐time autoregressive moving average process
• The Elementary Gaussian Processes