Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes (Q5397971): Difference between revisions

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scientific article; zbMATH DE number 6261470

Language	Label	Description	Also known as
English	Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes	scientific article; zbMATH DE number 6261470

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instance of

scholarly article

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title

Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes (English)

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Journal of Time Series Analysis

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publication date

25 February 2014

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zbMATH Keywords

CARMA process

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consistency

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high-frequency data

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Lévy process

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parameter estimation

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periodogram

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power transfer function

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smoothed periodogram

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spectral estimation

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describes a project that uses

AMPL

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MINOS

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1111/jtsa.12029

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cites work

Lévy–Driven Continuous–Time ARMA Processes

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Time series: theory and methods.

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Existence and uniqueness of stationary Lévy-driven CARMA processes

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Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations

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Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes

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Estimation for Non-Negative Lévy-Driven CARMA Processes

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High-frequency sampling and kernel estimation for continuous-time moving average processes

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High-frequency sampling of a continuous-time ARMA process

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Estimation for first-order autoregressive processes with positive or bounded innovations

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Q3059475

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Limit Theory for High Frequency Sampled MCARMA Models

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Statistical inference of spectral estimation for continuous-time MA processes with finite second moments

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On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes

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Q4226179

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Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes

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Q4322402

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Large-scale linearly constrained optimization

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Q3323077

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Heavy-Tail Phenomena

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Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes

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Identifiers

zbMATH Open document ID

1282.62192

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DOI

10.1111/jtsa.12029

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

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+Lévy–Driven Continuous–Time ARMA Processes
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+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
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+Existence and uniqueness of stationary Lévy-driven CARMA processes
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@@ Property / cites work @@
+Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
+Normal rank
@@ Property / cites work @@
+Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
+Normal rank
@@ Property / cites work @@
+Estimation for Non-Negative Lévy-Driven CARMA Processes
+Normal rank
@@ Property / cites work @@
+High-frequency sampling and kernel estimation for continuous-time moving average processes
+Normal rank
@@ Property / cites work @@
+High-frequency sampling of a continuous-time ARMA process
+Normal rank
@@ Property / cites work @@
+Estimation for first-order autoregressive processes with positive or bounded innovations
+Normal rank
@@ Property / cites work @@
+Q3059475
@@ Property / cites work: Q3059475 / rank @@
+Normal rank
@@ Property / cites work @@
+Limit Theory for High Frequency Sampled MCARMA Models
+Normal rank
@@ Property / cites work @@
+Statistical inference of spectral estimation for continuous-time MA processes with finite second moments
+Normal rank
@@ Property / cites work @@
+On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes
+Normal rank
@@ Property / cites work @@
+Q4226179
@@ Property / cites work: Q4226179 / rank @@
+Normal rank
@@ Property / cites work @@
+Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
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@@ Property / cites work @@
+Q4322402
@@ Property / cites work: Q4322402 / rank @@
+Normal rank
@@ Property / cites work @@
+Large-scale linearly constrained optimization
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+Normal rank
@@ Property / cites work @@
+Q3323077
@@ Property / cites work: Q3323077 / rank @@
+Normal rank
@@ Property / cites work @@
+Heavy-Tail Phenomena
@@ Property / cites work: Heavy-Tail Phenomena / rank @@
+Normal rank
@@ Property / cites work @@
+Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
+Normal rank
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+Publication:5397971