Representations of continuous-time ARMA processes
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Cites work
- scientific article; zbMATH DE number 3437808 (Why is no real title available?)
- Dynamic models of long-memory processes driven by Lévy noise
- Long memory continuous time models
- Lévy-driven CARMA processes
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Time series: theory and methods.
Cited in
(51)- Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
- Integration of CARMA processes and spot volatility modelling
- scientific article; zbMATH DE number 4172871 (Why is no real title available?)
- State representations of ARMA-models
- Nonparametric Bayesian inference for the spectral density based on irregularly spaced data
- scientific article; zbMATH DE number 1515429 (Why is no real title available?)
- scientific article; zbMATH DE number 2199141 (Why is no real title available?)
- Conditional distributions of Mandelbrot-Van Ness fractional Lévy processes and continuous-time ARMA-GARCH-type models with long memory
- A Bayesian paradigm in a large class of Lévy-driven CARMA models for high frequency data
- Computing stochastic continuous-time models from ARMA models
- ARMA representation of integrated and realized variances
- Functional regular variation of Lévy-driven multivariate mixed moving average processes
- A Lévy-driven rainfall model with applications to futures pricing
- Multivariate elliptic processes
- Lévy–Driven Continuous–Time ARMA Processes
- The causal α -exponential and the solution of fractional linear time-invariant systems
- Fractional Lévy processes with an application to long memory moving average processes
- Discrete-valued ARMA processes
- Subordinated continuous-time AR processes and their application to modeling behavior of mechanical system
- On a Szegö type limit theorem, the Hölder-Young-Brascamp-Lieb inequality, and the asymptotic theory of integrals and quadratic forms of stationary fields
- Continuous-parameter time series
- Continuous time ARMA processes: discrete time representation and likelihood evaluation
- Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
- Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
- Reachability of discrete time ARMA representations
- Continuous-time GARCH processes
- Embedding in law of discrete time ARMA processes in continuous time stationary processes
- Multivariate fractionally integrated CARMA processes
- On stochastic integration for volatility modulated Lévy-driven Volterra processes
- scientific article; zbMATH DE number 4058538 (Why is no real title available?)
- Recent results in the theory and applications of CARMA processes
- On the exponential process associated with a CARMA-type process
- A Note on Non-Negative Continuous Time Processes
- Ornstein-Uhlenbeck process driven by \(\alpha\)-stable process and its gamma subordination
- Stochastic modeling of stratospheric temperature
- Continuous-time fractional ARMA processes
- Tensorial products of functional ARMA processes
- A construction of continuous-time ARMA models by iterations of Ornstein-Uhlenbeck processes
- scientific article; zbMATH DE number 168803 (Why is no real title available?)
- Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
- Multivariate CARMA processes
- Multivariate supOU processes
- Signal extraction for nonstationary time series with diverse sampling rules
- Finite mixture approximation of CARMA(p,q) models
- DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
- Lévy CARMA models for shocks in mortality
- Spectral representation of multivariate regularly varying Lévy and CARMA processes
- Forecasting continuous-time processes with applications to signal extraction
- Continuous-time ARMA processes
- Stationary infinitely divisible processes
- Bootstrapping continuous-time autoregressive processes
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