A Class of Non-Embeddable ARMA Processes

DOI10.1111/1467-9892.00151zbMath0934.62087OpenAlexW2001214364MaRDI QIDQ4939811

Antony E. Brockwell, Peter J. Brockwell

Publication date: 1 March 2000

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

Full work available at URL: https://doi.org/10.1111/1467-9892.00151

zbMATH Keywords

embeddingtime seriesspectral densityunit rootsautocovariance functionscontinuous-time ARMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (7)

Embedding in law of discrete time ARMA processes in continuous time stationary processes ⋮ Prediction of Lévy-driven CARMA processes ⋮ Optimal dynamic spatial sampling ⋮ Recent results in the theory and applications of CARMA processes ⋮ Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability ⋮ Multivariate fractionally integrated CARMA processes ⋮ Embedding a Gaussian discrete‐time autoregressive moving average process in a Gaussian continuous‐time autoregressive moving average process

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