High-frequency sampling and kernel estimation for continuous-time moving average processes

DOI10.1111/jtsa.12022zbMath1274.62578arXiv1107.4468OpenAlexW1498246356MaRDI QIDQ2852599

Claudia Klüppelberg, Vincenzo Ferrazzano, Peter J. Brockwell

Publication date: 9 October 2013

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1107.4468

zbMATH Keywords

kernel estimationregular variationturbulencespectral theoryhigh-frequency dataCARMA processFICARMA processcontinuous-time moving average processWold representation

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05) Prediction theory (aspects of stochastic processes) (60G25)

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