On continuous-time threshold ARMA processes
type: Item
instance of: scholarly article
title: On continuous-time threshold ARMA processes
zbMATH Open document ID: 0797.62072
DOI: 10.1016/0378-3758(94)90210-0
published in: Journal of Statistical Planning and Inference
publication date: 1994-09-08T00:00:00Z
Mathematics Subject Classification ID: 62M10
zbMATH DE Number: 605316
zbMATH Keywords: linear CARMA\((p,q)\) processes
zbMATH Keywords: CTARMA processes
zbMATH Keywords: state-space representation
zbMATH Keywords: maximum-likelihood estimation
zbMATH Keywords: recursions
zbMATH Keywords: continuous- time threshold ARMA \((p,q)\) process
zbMATH Keywords: continuous-time threshold autoregressive processes
zbMATH Keywords: irregularly spaced data
zbMATH Keywords: likelihood of observations
zbMATH Keywords: transition probabilities
zbMATH Keywords: white noise
zbMATH Keywords: characteristic function
zbMATH Keywords: underlying diffusion process
zbMATH Keywords: Cameron-Martin-Girsanov formula
zbMATH Keywords: Brownian motion
zbMATH Keywords: Gaussian likelihoods
zbMATH Keywords: Canadian Lynx Data
author: Peter J. Brockwell
MaRDI profile type: Publication
full work available at URL: 0378-3758(94)90210-0
OpenAlex ID: W2047021902
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Wikidata QID: Q127564798
description: scientific article; zbMATH DE number 605316