High-frequency sampling of a continuous-time ARMA process

DOI10.1111/J.1467-9892.2011.00748.XMaRDI QIDQ2930909zbMATH OpenOpenAlexFDO

Authors Vincenzo Ferrazzano, Claudia Klüppelberg, Peter J. Brockwell

Publication date 20 November 2014

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1104.0554

zbMATH Keywords

high-frequency dataCARMA processdiscretely sampled process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: Continuous-time autoregressive moving average (CARMA) processes have recently been used widely in the modeling of non-uniformly spaced data and as a tool for dealing with high-frequency data of the form $Y_{nDelta},n=0,1,2,\mathrm{...}$, where $Delta$ is small and positive. Such data occur in many fields of application, particularly in finance and the study of turbulence. This paper is concerned with the characteristics of the process $$, when $Delta$ is small and the underlying continuous-time process $$ is a specified CARMA process.

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Cites work

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Cited in

(14)

• High-frequency sampling and kernel estimation for continuous-time moving average processes
• On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes
• Sampling, embedding and inference for CARMA processes
• Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes
• Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
• Frequency-domain identification of continuous-time ARMA models from sampled data
• Modelling and Prediction of Financial Time Series
• Prediction of Lévy-driven CARMA processes
• A Sampling Theory Approach for Continuous ARMA Identification
• Gamma kernels and BSS/LSS processes
• Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes
• Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
• Forecasting continuous-time processes with applications to signal extraction
• Bootstrapping continuous-time autoregressive processes

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