Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes
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- Brockwell, Peter J. & Schlemm, Eckhard, 2013. "Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 217-251.
- Fasen, Vicky & Fuchs, Florian, 2013. "On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 229-273.
- Peter J. Brockwell & Vincenzo Ferrazzano & Claudia Klüppelberg, 2013. "High-frequency sampling and kernel estimation for continuous-time moving average processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(3), pages 385-404, May.
- Davis, Richard A. & McCormick, William P., 1989. "Estimation for first-order autoregressive processes with positive or bounded innovations," Stochastic Processes and their Applications, Elsevier, vol. 31(2), pages 237-250, April.
- Brockwell, Peter J. & Lindner, Alexander, 2009. "Existence and uniqueness of stationary Lévy-driven CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 119(8), pages 2660-2681, August.
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Cited by:
- Vicky Fasen-Hartmann & Celeste Mayer, 2022. "Whittle estimation for continuous-time stationary state space models with finite second moments," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 74(2), pages 233-270, April.
- P. Brockwell, 2014. "Recent results in the theory and applications of CARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(4), pages 647-685, August.
- Jürgen Kampf & Georgiy Shevchenko & Evgeny Spodarev, 2021. "Nonparametric estimation of the kernel function of symmetric stable moving average random functions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(2), pages 337-367, April.
- Reiichiro Kawai, 2017. "Sample Path Generation of Lévy-Driven Continuous-Time Autoregressive Moving Average Processes," Methodology and Computing in Applied Probability, Springer, vol. 19(1), pages 175-211, March.
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