Prediction of Lévy-driven CARMA processes

DOI10.1016/j.jeconom.2015.03.021zbMath1337.62244OpenAlexW2050488482MaRDI QIDQ888318

Peter J. Brockwell, Alexander M. Lindner

Publication date: 30 October 2015

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2015.03.021

zbMATH Keywords

predictionLévy processcontinuous timeCARMA process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Prediction theory (aspects of stochastic processes) (60G25)

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