A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL

DOI10.1111/j.1467-9892.1987.tb00439.xzbMath0617.62099OpenAlexW2121881605MaRDI QIDQ4727247

Kung-Sik Chan, Howell Tong

Publication date: 1987

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00439.x

zbMATH Keywords

spectral densityaliasingembedding a discrete parameter ARMA model in a continuous parameter ARMA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (10)

Optimal designs for regression models with autoregressive errors ⋮ Embedding in law of discrete time ARMA processes in continuous time stationary processes ⋮ Two filtering methods of forecasting linear and nonlinear dynamics of intensive longitudinal data ⋮ Frequency-domain identification of continuous-time ARMA models from sampled data ⋮ On parameter estimation of threshold autoregressive models ⋮ Bootstrapping continuous-time autoregressive processes ⋮ Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes ⋮ Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability ⋮ A class of stationary random fields with a simple correlation structure ⋮ Some computational aspects of Gaussian CARMA modelling

Cites Work

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• Unique estimates of the parameters of a continuous stationary stochastic process
• The spectrum of a continuous process derived from a discrete process

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