Limit Theory for High Frequency Sampled MCARMA Models

DOI10.1239/aap/1409319563zbMath1429.62394OpenAlexW2065447725MaRDI QIDQ3191826

Vicky Fasen

Publication date: 25 September 2014

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1409319563

zbMATH Keywords

regular variationOrnstein-Uhlenbeck processcentral limit theoremsample variancecointegrationdomain of attractionhigh-frequency datamultivariate CARMA process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05)

Related Items

Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes, Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters, Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes, Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes, Limit theorems for trawl processes, Dependence Estimation for High-frequency Sampled Multivariate CARMA Models, Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies

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