On continuous-time threshold ARMA processes (Q1330197)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: On continuous-time threshold ARMA processes |
scientific article; zbMATH DE number 605316
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | On continuous-time threshold ARMA processes |
scientific article; zbMATH DE number 605316 |
Statements
On continuous-time threshold ARMA processes (English)
0 references
8 September 1994
0 references
linear CARMA\((p,q)\) processes
0 references
CTARMA processes
0 references
state-space representation
0 references
maximum-likelihood estimation
0 references
recursions
0 references
continuous- time threshold ARMA \((p,q)\) process
0 references
continuous-time threshold autoregressive processes
0 references
irregularly spaced data
0 references
likelihood of observations
0 references
transition probabilities
0 references
white noise
0 references
characteristic function
0 references
underlying diffusion process
0 references
Cameron-Martin-Girsanov formula
0 references
Brownian motion
0 references
Gaussian likelihoods
0 references
Canadian Lynx Data
0 references
0.8789467811584473
0 references
0.8789467811584473
0 references
0.8455734848976135
0 references
