ON THE APPROXIMATION OF MOMENTS FOR CONTINUOUS TIME THRESHOLD ARMA PROCESSES (Q4881707)
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scientific article; zbMATH DE number 887338
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| English | ON THE APPROXIMATION OF MOMENTS FOR CONTINUOUS TIME THRESHOLD ARMA PROCESSES |
scientific article; zbMATH DE number 887338 |
Statements
ON THE APPROXIMATION OF MOMENTS FOR CONTINUOUS TIME THRESHOLD ARMA PROCESSES (English)
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6 November 1996
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continuous time threshold ARMA process
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discrete approximation of CTARMA processes
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Gaussian likelihood
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conditional moments
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numerical examples
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Cameron-Martin-Girsanov formula
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0.9789506
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0.96028566
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0.91769737
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0.91515857
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