Estimation of parameters of a continuous time Gaussian stationary process with rational spectral density

DOI10.1093/BIOMET/64.2.385MaRDI QIDQ4137972zbMATH OpenOpenAlexFDO

Authors Pham Dinh Tuan

Publication date 1977

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/64.2.385

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Inference from stochastic processes and spectral analysis (62M15)

Cited in

(11)

• High-frequency sampling and kernel estimation for continuous-time moving average processes
• The effects of rapid sampling in system identification
• Sampling, embedding and inference for CARMA processes
• Model verification for Lévy-driven Ornstein-Uhlenbeck processes
• Berry-Esseen bounds of second moment estimators for Gaussian processes observed at high frequency
• Recent results in the theory and applications of CARMA processes
• Performance evaluation of methods for identifying continuous-time autoregressive processes
• Levinson-Durbin-type algorithms for continuous-time autoregressive models and applications
• Prediction of Lévy-driven CARMA processes
• Estimation of stable CARMA models with an application to electricity spot prices
• Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes

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