Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes

DOI10.1214/12-EJS743zbMath1295.62020arXiv1210.7447MaRDI QIDQ1950896

Robert Stelzer, Eckhard Schlemm

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.7447

zbMATH Keywords

asymptotic normalitystrong mixingstrong consistencyquasi maximum likelihood estimationmultivariate CARMA processlinear state space model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Non-Markovian processes: estimation (62M09) Point estimation (62F10) Stationary stochastic processes (60G10)

Related Items (11)

Whittle estimation for continuous-time stationary state space models with finite second moments ⋮ A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ Geometric ergodicity of affine processes on cones ⋮ Implementation of Lévy CARMA model in \texttt{yuima} package ⋮ Sampling, Embedding and Inference for CARMA Processes ⋮ Robust estimation of stationary continuous‐time arma models via indirect inference ⋮ Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes ⋮ Factorization and discrete-time representation of multivariate CARMA processes ⋮ Dependence Estimation for High-frequency Sampled Multivariate CARMA Models ⋮ Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies

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