High-frequency sampling and kernel estimation for continuous-time moving average processes
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Publication:2852599
DOI10.1111/jtsa.12022zbMath1274.62578arXiv1107.4468MaRDI QIDQ2852599
Claudia Klüppelberg, Vincenzo Ferrazzano, Peter J. Brockwell
Publication date: 9 October 2013
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1107.4468
kernel estimation; regular variation; turbulence; spectral theory; high-frequency data; CARMA process; FICARMA process; continuous-time moving average process; Wold representation
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G05: Nonparametric estimation
60G25: Prediction theory (aspects of stochastic processes)
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