Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes

DOI10.1214/12-EJS743zbMath1295.62020arXiv1210.7447MaRDI QIDQ1950896

Robert Stelzer, Eckhard Schlemm

Publication date: 28 May 2013

Published in: Electronic Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1210.7447

zbMATH Keywords

asymptotic normality; strong mixing; strong consistency; quasi maximum likelihood estimation; multivariate CARMA process; linear state space model

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62F12: Asymptotic properties of parametric estimators

62M09: Non-Markovian processes: estimation

62F10: Point estimation

60G10: Stationary stochastic processes

Related Items

Cointegrated continuous-time linear state-space and MCARMA models, Robust estimation of stationary continuous‐time arma models via indirect inference, Factorization and discrete-time representation of multivariate CARMA processes, Sampling, Embedding and Inference for CARMA Processes, Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes, Implementation of Lévy CARMA model in \texttt{yuima} package, Whittle estimation for continuous-time stationary state space models with finite second moments, A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies, Geometric ergodicity of affine processes on cones, Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies, Dependence Estimation for High-frequency Sampled Multivariate CARMA Models

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