Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes

DOI10.1007/s10463-017-0601-5zbMath1387.62103OpenAlexW2588866920WikidataQ64023142 ScholiaQ64023142MaRDI QIDQ1744717

Péter Kevei

Publication date: 19 April 2018

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-017-0601-5

zbMATH Keywords

spectral densityhigh-frequency samplingdiscretely sampled processmultivariate continuous time autoregressive moving average (CARMA) process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Cointegration in continuous time for factor models, Multivariate continuous-time autoregressive moving-average processes on cones

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