Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability

DOI10.1111/jtsa.12030zbMath1282.62204OpenAlexW1486008482MaRDI QIDQ5397972

Michael A. Thornton, Marcus J. Chambers

Publication date: 25 February 2014

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

Full work available at URL: https://doi.org/10.1111/jtsa.12030

zbMATH Keywords

embeddingARMA processcontinuous timediscrete-time representation

Mathematics Subject Classification ID

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

Related Items (5)

Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ Recent results in the theory and applications of CARMA processes ⋮ Sampling, Embedding and Inference for CARMA Processes ⋮ Some computational aspects of Gaussian CARMA modelling

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