Estimation of stable CARMA models with an application to electricity spot prices

DOI10.1177/1471082X1001100504zbMath1420.62363MaRDI QIDQ5193316

Isabel García, Claudia Klüppelberg, Gernot J. Müller

Publication date: 10 September 2019

Published in: Statistical Modelling (Search for Journal in Brave)

zbMATH Keywords

stable Lévy processelectricity pricesCARMA modelstable Ornstein-Uhlenbeck processestimation of CARMA modelsstable CARMA model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (22)

A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies ⋮ On non-negative modeling with CARMA processes ⋮ Spectral representation of multivariate regularly varying Lévy and CARMA processes ⋮ Representation of infinite-dimensional forward price models in commodity markets ⋮ Continuous‐time threshold autoregressions with jumps: Properties, estimation, and application to electricity markets ⋮ Semi-Lévy-driven CARMA process: estimation and prediction ⋮ Lévy driven CARMA generalized processes and stochastic partial differential equations ⋮ CARMA processes as solutions of integral equations ⋮ Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing ⋮ Representation and approximation of ambit fields in Hilbert space ⋮ Recent results in the theory and applications of CARMA processes ⋮ Sampling, Embedding and Inference for CARMA Processes ⋮ Lévy-driven causal CARMA random fields ⋮ Convergence of extreme values of Poisson point processes at small times ⋮ Model verification for Lévy-driven CARMA(2,1) processes ⋮ Sample path generation of Lévy-driven continuous-time autoregressive moving average processes ⋮ Multivariate stochastic delay differential equations and CAR representations of CARMA processes ⋮ Unnamed Item ⋮ Nonparametric estimation of the kernel function of symmetric stable moving average random functions ⋮ Estimation of time-varying autoregressive stochastic volatility models with stable innovations ⋮ Aspects of non‐causal and non‐invertible CARMA processes ⋮ Finite Mixture Approximation of CARMA(p,q) Models

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