A NOTE ON EMBEDDING A DISCRETE PARAMETER ARMA MODEL IN A CONTINUOUS PARAMETER ARMA MODEL

DOI10.1111/j.1467-9892.1987.tb00439.xzbMath0617.62099MaRDI QIDQ4727247

Kung-Sik Chan, Howell Tong

Publication date: 1987

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1987.tb00439.x

zbMATH Keywords

spectral density; aliasing; embedding a discrete parameter ARMA model in a continuous parameter ARMA model

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

Related Items

Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes, Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability, Some computational aspects of Gaussian CARMA modelling, Optimal designs for regression models with autoregressive errors, On parameter estimation of threshold autoregressive models, Embedding in law of discrete time ARMA processes in continuous time stationary processes, Two filtering methods of forecasting linear and nonlinear dynamics of intensive longitudinal data, Frequency-domain identification of continuous-time ARMA models from sampled data, Bootstrapping continuous-time autoregressive processes, A class of stationary random fields with a simple correlation structure

Cites Work

• Unique estimates of the parameters of a continuous stationary stochastic process
• The spectrum of a continuous process derived from a discrete process
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