ON THE APPROXIMATION OF MOMENTS FOR CONTINUOUS TIME THRESHOLD ARMA PROCESSES

DOI10.1111/j.1467-9892.1996.tb00272.xzbMath0849.62053OpenAlexW1986253250MaRDI QIDQ4881707

Osnat Stramer

Publication date: 6 November 1996

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1996.tb00272.x

zbMATH Keywords

numerical examplesconditional momentsCameron-Martin-Girsanov formulaGaussian likelihoodcontinuous time threshold ARMA processdiscrete approximation of CTARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Related Items (1)

Weak consistency of the Euler method for numerically solving stochastic differential equations with discontinuous coefficients

Cites Work

• On continuous-time threshold ARMA processes
• Continuous-time threshold AR(1) processes
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