Some computational aspects of Gaussian CARMA modelling

DOI10.1007/S11222-013-9438-9zbMATH Open1331.65022OpenAlexW1520931194MaRDI QIDQ5962746FDOQ5962746

Helgi Tómasson

Publication date: 23 February 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: http://irihs.ihs.ac.at/2090/1/es-274.pdf

zbMATH Keywords

simulationspectrumcontinuous timetime-seriesmaximum-likelihoodCARMA

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

Cites Work

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• Nineteen Dubious Ways to Compute the Exponential of a Matrix, Twenty-Five Years Later
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• A note on parameter differentiation of matrix exponentials, with applications to continuous-time modelling
• Continuous-time GARCH processes
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• ON SIMULATION OF A GAUSSIAN STATIONARY PROCESS
• The spectrum of a continuous process derived from a discrete process

Cited In (5)

• A Bayesian paradigm in a large class of Lévy-driven CARMA models for high frequency data
• Finite Mixture Approximation of CARMA(p,q) Models
• Optimal dynamic spatial sampling
• Implementation of Lévy CARMA model in \texttt{yuima} package
• Sample path generation of Lévy-driven continuous-time autoregressive moving average processes

Uses Software

• R

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