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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Brockwell, P. J., Davis, R., Yang, Y. 
Titel:
Continuous-time Gaussian autoregression 
Abstract:
The problem of fitting continuous-time autoregressions (linear and non-linear) to closely and regularly spaced data is considered. For the linear case Jones (1981) and Bergstrom (1985) used state-space representations to compute exact maximum likelihood estimators, and Phillips (1959) did so by fitting an appropriate discrete-time ARMA process to the data. In this paper we use exact conditional maximum likelihood estimators for the continuously-observed process to derive approximate maximum like...    »
 
Stichworte:
Cameron-Martin-Girsanov formula, continuous-time autoregression, maximum likelihood, Radon-Nikodym derivative, sampled process, threshold autoregression, Wiener measure 
Zeitschriftentitel:
Statistica Sinica 
Jahr:
2007 
Band / Volume:
17 
Seitenangaben Beitrag:
63-80 
Reviewed:
ja 
Sprache:
en 
Semester:
SS 07 
Format:
Text