Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes
DOI10.1007/s10463-017-0601-5zbMath1387.62103OpenAlexW2588866920WikidataQ64023142 ScholiaQ64023142MaRDI QIDQ1744717
Publication date: 19 April 2018
Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10463-017-0601-5
spectral densityhigh-frequency samplingdiscretely sampled processmultivariate continuous time autoregressive moving average (CARMA) process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)
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