Sample path generation of Lévy-driven continuous-time autoregressive moving average processes
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Publication:518863
DOI10.1007/s11009-015-9472-5zbMath1375.65009OpenAlexW2248018402MaRDI QIDQ518863
Publication date: 30 March 2017
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-015-9472-5
numerical examplesimulationstationary processLévy processstable processgamma processfinancial economicsCARMA processsample path properties
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