Limit theory for high frequency sampled MCARMA models
From MaRDI portal
Recommendations
- Dependence estimation for high-frequency sampled multivariate CARMA models
- Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes
- On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes
- Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
- Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
Cites work
- An overview of important practical aspects of continuous-time ARMA system identification
- Asymptotic likelihood based inference for co-integrated homogeneous Gaussian diffusions
- Asymptotics for linear processes
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Cointegrated processes with infinite variance innovations
- Complete convergence for arrays
- Discrete and continuous time cointegration
- Error Correction and Long-Run Equilibrium in Continuous Time
- Estimation of continuous-time stochastic volatility models with jumps using high-frequency data
- Extremal behavior of stochastic integrals driven by regularly varying Lévy processes
- Foundations of Modern Probability
- Heavy-Tail Phenomena
- High-frequency sampling and kernel estimation for continuous-time moving average processes
- scientific article; zbMATH DE number 4030574 (Why is no real title available?)
- scientific article; zbMATH DE number 4052784 (Why is no real title available?)
- scientific article; zbMATH DE number 720753 (Why is no real title available?)
- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 1402217 (Why is no real title available?)
- scientific article; zbMATH DE number 3332032 (Why is no real title available?)
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Limit distributions for sums of independent random vectors. Heavy tails in theory and practice
- Limit theory for moving averages of random variables with regularly varying tail probabilities
- Lévy-driven CARMA processes
- Lévy–Driven Continuous–Time ARMA Processes
- Moving averages of random vectors with regularly varying tails
- Multivariate CARMA processes
- Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
- On Interchanging Limits and Integrals
- On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes
- Point processes, regular variation and weak convergence
- Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes
- Spectral representations of infinitely divisible processes
- Statistical estimation of multivariate Ornstein-Uhlenbeck processes and applications to co-integration
- Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
- THE CARMA INTEREST RATE MODEL
- The Elementary Gaussian Processes
- Time series regression on integrated continuous-time processes with heavy and light tails
Cited in
(11)- Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes
- On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes
- Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
- Limit theorems for trawl processes
- Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
- Information criteria for multivariate CARMA processes
- Dependence estimation for high-frequency sampled multivariate CARMA models
- Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
- Limit behaviour of the truncated pathwise Fourier-transformation of Lévy-driven CARMA processes for non-equidistant discrete time observations
- Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters
- Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes
This page was built for publication: Limit theory for high frequency sampled MCARMA models
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3191826)
