Embedding a Gaussian discrete‐time autoregressive moving average process in a Gaussian continuous‐time autoregressive moving average process
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Publication:5430497
DOI10.1111/j.1467-9892.2006.00520.xzbMath1164.62046OpenAlexW2096208363MaRDI QIDQ5430497
Publication date: 16 December 2007
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2006.00520.x
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Inference from stochastic processes and spectral analysis (62M15)
Related Items (6)
Embedding in law of discrete time ARMA processes in continuous time stationary processes ⋮ Two filtering methods of forecasting linear and nonlinear dynamics of intensive longitudinal data ⋮ Bootstrapping continuous-time autoregressive processes ⋮ Filling the gap between Continuous and Discrete Time Dynamics of Autoregressive Processes ⋮ Sampling, Embedding and Inference for CARMA Processes ⋮ Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability
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