High-frequency sampling of a continuous-time ARMA process
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Publication:2930909
DOI10.1111/j.1467-9892.2011.00748.xzbMath1300.62070arXiv1104.0554OpenAlexW3121583852MaRDI QIDQ2930909
Claudia Klüppelberg, Vincenzo Ferrazzano, Peter J. Brockwell
Publication date: 20 November 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.0554
Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Related Items (11)
Forecasting continuous-time processes with applications to signal extraction ⋮ Prediction of Lévy-driven CARMA processes ⋮ Bootstrapping continuous-time autoregressive processes ⋮ Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums ⋮ Sampling, Embedding and Inference for CARMA Processes ⋮ Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes ⋮ Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability ⋮ Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes ⋮ Modelling and Prediction of Financial Time Series ⋮ Gamma Kernels and BSS/LSS Processes ⋮ High-frequency sampling and kernel estimation for continuous-time moving average processes
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- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- A survey of spectral factorization methods
- Estimation for Non-Negative Lévy-Driven CARMA Processes
- An Exponential Continuous-Time GARCH Process
- The Elementary Gaussian Processes
- Lévy-driven CARMA processes
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