Model verification for Lévy-driven CARMA(2,1) processes

DOI10.1080/15326349.2021.1937224zbMath1475.62231OpenAlexW3186048087MaRDI QIDQ5157351

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Publication date: 13 October 2021

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326349.2021.1937224

zbMATH Keywords

Ornstein-Uhlenbeck processsampled processsample correlationCARMA(2,1)Lévy-driven

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07) Markov processes: hypothesis testing (62M02)

Cites Work

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• Estimation of stable CARMA models with an application to electricity spot prices
• Estimation for Non-Negative Lévy-Driven CARMA Processes
• The Elementary Gaussian Processes
• Lévy-driven CARMA processes

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