On continuous-time threshold ARMA processes (Q1330197): Difference between revisions

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Latest revision as of 07:27, 1 August 2024

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On continuous-time threshold ARMA processes
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    On continuous-time threshold ARMA processes (English)
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    8 September 1994
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    linear CARMA\((p,q)\) processes
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    CTARMA processes
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    state-space representation
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    maximum-likelihood estimation
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    recursions
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    continuous- time threshold ARMA \((p,q)\) process
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    continuous-time threshold autoregressive processes
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    irregularly spaced data
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    likelihood of observations
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    transition probabilities
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    white noise
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    characteristic function
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    underlying diffusion process
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    Cameron-Martin-Girsanov formula
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    Brownian motion
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    Gaussian likelihoods
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    Canadian Lynx Data
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