Zobrazeno 1 - 10
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pro vyhledávání: '"Brockwell, Peter J."'
Autor:
Brockwell, Peter J., Schlemm, Eckhard
Publikováno v:
2013, Journal of Multivariate Analysis, 115, pp 217-251
We consider the parametric estimation of the driving L\'evy process of a multivariate continuous-time autoregressive moving average (MCARMA) process, which is observed on the discrete time grid $(0,h,2h,...)$. Beginning with a new state space represe
Externí odkaz:
http://arxiv.org/abs/1209.0952
We obtain necessary and sufficient conditions for the existence of strictly stationary solutions of multivariate ARMA equations with independent and identically distributed noise. For general ARMA$(p,q)$ equations these conditions are expressed in te
Externí odkaz:
http://arxiv.org/abs/1105.3510
Publikováno v:
JTSA 33 (1), 2011
Continuous-time autoregressive moving average (CARMA) processes have recently been used widely in the modeling of non-uniformly spaced data and as a tool for dealing with high-frequency data of the form $Y_{n\Delta}, n=0,1,2,...$, where $\Delta$ is s
Externí odkaz:
http://arxiv.org/abs/1104.0554