Limit Theory for High Frequency Sampled MCARMA Models
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Publication:3191826
DOI10.1239/aap/1409319563zbMath1429.62394MaRDI QIDQ3191826
Publication date: 25 September 2014
Published in: Advances in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://projecteuclid.org/euclid.aap/1409319563
regular variation; Ornstein-Uhlenbeck process; central limit theorem; sample variance; cointegration; domain of attraction; high-frequency data; multivariate CARMA process
60G51: Processes with independent increments; Lévy processes
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60F05: Central limit and other weak theorems
Related Items
Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes, Model verification for Lévy-driven Ornstein-Uhlenbeck processes with estimated parameters, Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes, Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes, Limit theorems for trawl processes, 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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