Limit behaviour of the truncated pathwise Fourier-transformation of L\'evy-driven CARMA processes for non-equidistant discrete time observations

DOI10.5705/ss.202015.0314zbMath1394.62119arXiv1509.01384OpenAlexW2964171273MaRDI QIDQ4571226

Żywilla Fechner, Robert Stelzer

Publication date: 6 July 2018

Published in: Statistica Sinica (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1509.01384

zbMATH Keywords

frequency domainLévy processhigh-frequency datatrapezoidal ruleCARMA process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20)

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