Forecasting continuous-time processes with applications to signal extraction (Q2393151): Difference between revisions

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+https://doi.org/10.1007/s10463-012-0373-x
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+W2119245578
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+Q3503410
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+Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
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+Signal extraction from nonstationary time series
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+Lévy-driven CARMA processes
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+Representations of continuous-time ARMA processes
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+Existence and uniqueness of stationary Lévy-driven CARMA processes
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+High-frequency sampling of a continuous-time ARMA process
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+MATRIX FORMULAS FOR NONSTATIONARY ARIMA SIGNAL EXTRACTION
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+On the Discretization of Continuous-Time Filters for Nonstationary Stock and Flow Time Series
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