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A Note On The Embedding Of Discrete‐Time Arma Processes

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  • Peter J. Brockwell

Abstract

. Let {Xn, n= 0, 1, 2,…} be a discrete‐time ARMA(p, q) process with q

Suggested Citation

  • Peter J. Brockwell, 1995. "A Note On The Embedding Of Discrete‐Time Arma Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(5), pages 451-460, September.
    • Handle: RePEc:bla:jtsera:v:16:y:1995:i:5:p:451-460
    DOI: 10.1111/j.1467-9892.1995.tb00246.x
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    References listed on IDEAS

    as
    1. S. W. He & J. G. Wang, 1989. "On Embedding A Discrete‐Parameter Arma Model In A Continuous‐Parameter Arma Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 10(4), pages 315-323, July.
    2. K. S. Chan & H. Tong, 1987. "A Note On Embedding A Discrete Parameter Arma Model In A Continuous Parameter Arma Model," Journal of Time Series Analysis, Wiley Blackwell, vol. 8(3), pages 277-281, May.
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    Cited by:

    1. Leon, Angel & Sentana, Enrique, 1997. "Pricing options on assets with predictable white noise returns," LSE Research Online Documents on Economics 119177, London School of Economics and Political Science, LSE Library.
    2. Ke Wan & Alain Kornhauser, 2023. "Market Making and Pricing of Financial Derivatives based on Road Travel Times," Papers 2305.02523, arXiv.org, revised May 2023.

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