Some computational aspects of Gaussian CARMA modelling
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Cited in
(7)- Finite mixture approximation of CARMA(p,q) models
- Sample path generation of Lévy-driven continuous-time autoregressive moving average processes
- Sampling, embedding and inference for CARMA processes
- Optimal dynamic spatial sampling
- A Bayesian paradigm in a large class of Lévy-driven CARMA models for high frequency data
- Pricing of futures with a CARMA(p,q) model driven by a time changed Brownian motion
- Implementation of Lévy CARMA model in \texttt{yuima} package
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