scientific article; zbMATH DE number 1515429

MaRDI QIDQ4507927zbMATH OpenFDO

Authors Henghsiu Tsai, Kung-Sik Chan

Publication date 10 October 2000

zbMATH Keywords

irregularly sampled dataKalman filter

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• The ARMA alphabet soup: a tour of ARMA model variants
• The Durbin-Watson statistic to estimate the instantaneous variance of non-stationary stochastic processes with ARMA structure for noise process
• Global smoothness estimation of a Gaussian process from general sequence designs
• On the closed form of the covariance matrix and its inverse of the causal ARMA process
• A note on the derivation of theoretical autocovariances for ARMA models
• Finite mixture approximation of CARMA(p,q) models
• Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
• Some computational aspects of Gaussian CARMA modelling
• Implementation of Lévy CARMA model in \texttt{yuima} package

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