Spectral estimates for high‐frequency sampled continuous‐time autoregressive moving average processes

DOI10.1111/jtsa.12029zbMath1282.62192OpenAlexW1793633357MaRDI QIDQ5397971

Florian Fuchs, Vicky Fasen

Publication date: 25 February 2014

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

Full work available at URL: https://doi.org/10.1111/jtsa.12029

zbMATH Keywords

parameter estimationconsistencyspectral estimationperiodogramLévy processhigh-frequency dataCARMA processsmoothed periodogrampower transfer function

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Whittle estimation for continuous-time stationary state space models with finite second moments ⋮ Limit Theory for High Frequency Sampled MCARMA Models ⋮ Semi-Lévy-driven CARMA process: estimation and prediction ⋮ Statistical inference of spectral estimation for continuous-time MA processes with finite second moments ⋮ Recent results in the theory and applications of CARMA processes ⋮ Sample path generation of Lévy-driven continuous-time autoregressive moving average processes ⋮ Dependence Estimation for High-frequency Sampled Multivariate CARMA Models ⋮ Nonparametric estimation of the kernel function of symmetric stable moving average random functions

Uses Software

• AMPL
• MINOS

Cites Work

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