Continuous time ARMA processes: discrete time representation and likelihood evaluation

DOI10.1016/j.jedc.2017.03.012zbMath1401.91506OpenAlexW2567584508MaRDI QIDQ1655581

Marcus J. Chambers, Michael A. Thornton

Publication date: 9 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/19420/1/1-s2.0-S0165188917300647-main.pdf

zbMATH Keywords

ARMA processstate spacecontinuous timemixed frequencydiscrete time representation

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (8)

Whittle estimation for continuous-time stationary state space models with finite second moments ⋮ Long-term prediction of the metals' prices using non-Gaussian time-inhomogeneous stochastic process ⋮ Stochastic modeling of currency exchange rates with novel validation techniques ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ Robust estimation of stationary continuous‐time arma models via indirect inference ⋮ Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies ⋮ Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data ⋮ Empirical spectral processes for stationary state space models

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Estimating integrated higher-order continuous time autoregressions with an application to money-income causality
• The estimation of continuous time models with mixed frequency data
• Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
• Continuous time autoregressive models with common stochastic trends
• Fast projection methods for minimal design problems in linear system theory
• An eigenvalue method of undetermined coefficients for solving linear rational expectations models
• Discrete time representation of stationary and non-stationary continuous time systems
• Some consequences of temporal aggregation and systematic sampling for ARMA and ARMAX models
• Cointegration and sampling frequency
• DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
• DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
• Effect of systematic sampling on arima models
• Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
• Representations of continuous-time ARMA processes
• THE CARMA INTEREST RATE MODEL
• Error Correction and Long-Run Equilibrium in Continuous Time
• A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends

This page was built for publication: Continuous time ARMA processes: discrete time representation and likelihood evaluation