Dependence Estimation for High-frequency Sampled Multivariate CARMA Models

DOI10.1111/sjos.12180zbMath1378.62068arXiv1410.6273OpenAlexW1952119335MaRDI QIDQ2791841

Vicky Fasen

Publication date: 16 March 2016

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

Full work available at URL: https://arxiv.org/abs/1410.6273

zbMATH Keywords

consistencyasymptotic normalitycovariance functioncorrelation functionlimit theoremsLévy processhigh-frequency dataCARMA processBartlett's formulamultivariate modelsMA processVARMA process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Related Items (1)

Multivariate continuous-time autoregressive moving-average processes on cones

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