Semi-Lévy-driven CARMA process: estimation and prediction

DOI10.1007/s42519-022-00317-0OpenAlexW4313639712MaRDI QIDQ6100207

Mohammad Mohammadi, Saeid Rezakhah, Navideh Modarresi

Publication date: 22 June 2023

Published in: Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s42519-022-00317-0

zbMATH Keywords

Kalman filterperiodically correlated processsemi-Lévy processCARMA model

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Inference from stochastic processes (62Mxx) Stochastic processes (60Gxx)

Cites Work

• Unnamed Item
• Unnamed Item
• Simulation of nonhomogeneous poisson processes by thinning
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• A perspective on convergence of adaptive control algorithms
• CARMA processes as solutions of integral equations
• Semi-selfsimilar processes
• Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
• Introduction to Time Series and Forecasting
• Integration of CARMA processes and spot volatility modelling
• High-frequency sampling and kernel estimation for continuous-time moving average processes
• DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
• Lévy–Driven Continuous–Time ARMA Processes
• Financial Modelling with Jump Processes
• A Fresh Look at the Kalman Filter
• Estimation of causal continuous‐time autoregressive moving average random fields
• Estimation of stable CARMA models with an application to electricity spot prices
• Estimation for Non-Negative Lévy-Driven CARMA Processes
• Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes
• Periodically Correlated Random Sequences

This page was built for publication: Semi-Lévy-driven CARMA process: estimation and prediction