Continuous-time locally stationary time series models

DOI10.1017/apr.2022.64arXiv2104.13796OpenAlexW3157726082MaRDI QIDQ6068849

Robert Stelzer, Bennet Ströh, Unnamed Author

Publication date: 15 December 2023

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2104.13796

zbMATH Keywords

non-stationary processesspectral densityCARMA processesWigner-Ville spectrumLévy-driven state space models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes and spectral analysis (62M15) General theory of stochastic processes (60G07)

Cites Work

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