On continuous-time threshold ARMA processes (Q1330197): Difference between revisions
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Latest revision as of 08:27, 1 August 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On continuous-time threshold ARMA processes |
scientific article |
Statements
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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