DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES

DOI10.1017/S0266466611000181zbMATH Open1234.62118OpenAlexW2161058936MaRDI QIDQ3224042FDOQ3224042

Authors: Marcus J. Chambers, Michael A. Thornton 

Publication date: 29 March 2012

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466611000181

Recommendations

• Representations of continuous-time ARMA processes
• Continuous time ARMA processes: discrete time representation and likelihood evaluation
• Discrete-valued ARMA processes
• Continuous-time ARMA processes
• scientific article; zbMATH DE number 168803
• Modeling of stationary periodic time series by ARMA representations
• Reachability of discrete time ARMA representations
• Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
• Estimation of continuous-time AR process parameters from discrete-time data

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• An equilibrium characterization of the term structure
• Error Correction and Long-Run Equilibrium in Continuous Time
• Lévy-driven CARMA processes
• Discrete time representation of stationary and non-stationary continuous time systems
• Individual Income, Incomplete Information, and Aggregate Consumption
• Note on the Correlation of First Differences of Averages in a Random Chain
• Title not available (Why is that?)
• Representations of continuous-time ARMA processes
• Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
• Continuous time autoregressive models with common stochastic trends
• Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
• Modeling of Continuous Stochastic Processes from Discrete Observations with Application to Sunspots Data
• The Interaction Between Time-Nonseparable Preferences and Time Aggregation
• DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA

Cited In (29)

• Cointegrated continuous-time linear state-space and MCARMA models
• Factorization and discrete-time representation of multi-variate CARMA processes
• ARMA representation of integrated and realized variances
• Title not available (Why is that?)
• Discrete-valued ARMA processes
• Title not available (Why is that?)
• Multivariate AR systems and mixed frequency data: G-identifiability and estimation
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
• A spectral EM algorithm for dynamic factor models
• Forecasting discrete stock and flow data generated by a second order continuous time system
• Continuous time ARMA processes: discrete time representation and likelihood evaluation
• Reachability of discrete time ARMA representations
• A single series representation of multiple independent ARMA processes
• The estimation of continuous time models with mixed frequency data
• Embedding in law of discrete time ARMA processes in continuous time stationary processes
• Title not available (Why is that?)
• The Grid Bootstrap for Continuous Time Models
• Discretization of continuous systems with internal and external point delays through a quasiparametrical ARMA model
• Representations of continuous-time ARMA processes
• Can we have correspondence between discrete-time ARMA process and continuous-time ARMA process?
• Exact discrete representations of linear continuous time models with mixed frequency data
• Semi-Lévy-driven CARMA process: estimation and prediction
• A note on the embeddability conditions in the case of integrated CARMA (2, 1) stochastic process with single and double zero roots
• Testing for a unit root in a near-integrated model with skip-sampled data
• Title not available (Why is that?)
• Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
• DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
• Continuous-time ARMA processes
• ON EMBEDDING A DISCRETE-PARAMETER ARMA MODEL IN A CONTINUOUS-PARAMETER ARMA MODEL

This page was built for publication: DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3224042)