Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes
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Publication:5397971
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Cites work
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- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 1243473 (Why is no real title available?)
- scientific article; zbMATH DE number 720759 (Why is no real title available?)
- Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
- Estimation for first-order autoregressive processes with positive or bounded innovations
- Estimation for non-negative Lévy-driven CARMA processes
- Existence and uniqueness of stationary Lévy-driven CARMA processes
- Heavy-Tail Phenomena
- High-frequency sampling and kernel estimation for continuous-time moving average processes
- High-frequency sampling of a continuous-time ARMA process
- Large-scale linearly constrained optimization
- Limit theory for high frequency sampled MCARMA models
- Lévy–Driven Continuous–Time ARMA Processes
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
- On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes
- Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
- Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
- Statistical inference of spectral estimation for continuous-time MA processes with finite second moments
- Time series: theory and methods.
Cited in
(19)- Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
- A note on estimation of \(\alpha\)-stable CARMA processes sampled at low frequencies
- Dependence estimation for high-frequency sampled multivariate CARMA models
- Nonparametric estimation of the kernel function of symmetric stable moving average random functions
- Semi-Lévy-driven CARMA process: estimation and prediction
- Robust and Efficient Parametric Spectral Density Estimation for High-Throughput Data
- High-frequency sampling of a continuous-time ARMA process
- Robust estimation of stationary continuous-time ARMA models via indirect inference
- Limit behaviour of the truncated pathwise Fourier-transformation of Lévy-driven CARMA processes for non-equidistant discrete time observations
- High-frequency sampling and kernel estimation for continuous-time moving average processes
- Statistical inference of spectral estimation for continuous-time MA processes with finite second moments
- Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes
- On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes
- Régularisation spectrale et propriétés métriques des moyennes mobiles (Spectral regularization and metric properties of moving averages)
- Limit theory for high frequency sampled MCARMA models
- Sample path generation of Lévy-driven continuous-time autoregressive moving average processes
- scientific article; zbMATH DE number 3942859 (Why is no real title available?)
- Whittle estimation for continuous-time stationary state space models with finite second moments
- Recent results in the theory and applications of CARMA processes
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