Prediction of Lévy-driven CARMA processes

DOI10.1016/j.jeconom.2015.03.021zbMath1337.62244OpenAlexW2050488482MaRDI QIDQ888318

Peter J. Brockwell, Alexander M. Lindner

Publication date: 30 October 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.021

zbMATH Keywords

predictionLévy processcontinuous timeCARMA process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (8)

On non-negative modeling with CARMA processes ⋮ Frontiers in time series and financial econometrics: an overview ⋮ Stochastic modeling of stratospheric temperature ⋮ CARMA processes as solutions of integral equations ⋮ Unnamed Item ⋮ Recent results in the theory and applications of CARMA processes ⋮ Multivariate stochastic delay differential equations and CAR representations of CARMA processes ⋮ Aspects of non‐causal and non‐invertible CARMA processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
• On a continuous analogue of the stochastic difference equation \(X_ n\) = rho X//(n-1) + \(B_ n\).
• Time series: theory and methods.
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• High-frequency sampling of a continuous-time ARMA process
• Estimation of parameters of a continuous time Gaussian stationary process with rational spectral density
• A Class of Non-Embeddable ARMA Processes

This page was built for publication: Prediction of Lévy-driven CARMA processes