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Some Computational Aspects of Gaussian CARMA Modelling

Author

Listed:
  • Tómasson, Helgi

    (Faculty of Economics, University of Iceland, Reykjavik, Iceland)

Abstract

Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown.

Suggested Citation

  • Tómasson, Helgi, 2011. "Some Computational Aspects of Gaussian CARMA Modelling," Economics Series 274, Institute for Advanced Studies.
    • Handle: RePEc:ihs:ihsesp:274
    as

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    File URL: https://irihs.ihs.ac.at/id/eprint/2090
    File Function: First version, 2011
    Download Restriction: no
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    References listed on IDEAS

    as
    1. 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.
    2. T. C. Sun & Milton Chaika, 1997. "On Simulation Of A Gaussian Stationary Process," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(1), pages 79-93, January.
    3. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    CARMA; maximum-likelihood; spectrum; Kalman filter; computation;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques

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