Estimation for Non-Negative Lévy-Driven CARMA Processes

DOI10.1198/jbes.2010.08165zbMath1214.62091OpenAlexW2041874997MaRDI QIDQ5392703

Richard A. Davis, Yu Yang, Peter J. Brockwell

Publication date: 13 April 2011

Published in: Journal of Business & Economic Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1198/jbes.2010.08165

zbMATH Keywords

stochastic differential equationstochastic volatilitycanonical representationLévy processsampled processcontinuous-time ARMA process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05)

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