Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums

DOI10.1214/13-EJS783zbMath1337.62260arXiv1210.1389MaRDI QIDQ1951126

Florian Fuchs, Vincenzo Ferrazzano

Publication date: 29 May 2013

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

Full work available at URL: https://arxiv.org/abs/1210.1389

zbMATH Keywords

Lévy process; high-frequency data; noise recovery; CARMA process; discretely sampled process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

60G10: Stationary stochastic processes

Related Items

Model verification for Lévy-driven Ornstein-Uhlenbeck processes, Recent results in the theory and applications of CARMA processes, Stable continuous-time autoregressive process driven by stable subordinator, Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes, Dependence Estimation for High-frequency Sampled Multivariate CARMA Models, High-frequency sampling and kernel estimation for continuous-time moving average processes

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