Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations

DOI10.1016/j.jmva.2012.09.004zbMath1259.62073arXiv1209.0952OpenAlexW2045108974MaRDI QIDQ1941443

Peter J. Brockwell, Eckhard Schlemm

Publication date: 12 March 2013

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.0952

zbMATH Keywords

generalized method of momentsinfinitely divisible distributionshigh-frequency sampling

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

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