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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Marquardt T. and James, L.F. 
Titel:
Generating long memory models based on CARMA processes 
Abstract:
Starting from short memory (Gaussian) processes we present various approaches to construct long memory processes and generalize these concepts to the Lévy setting. Moreover, Ornstein-Uhlenbeck processes are replaced by more general moving average (MA) processes, e.g. CARMA processes, thus allowing to model a broader class of autocorrelation functions, for instance oscillating autocorrelations. We obtain superposititions of MA processes, in particular supCARMA processes, as well as, by random...    »
 
Zeitschriftentitel:
Technical report 
Jahr:
2007 
Sprache:
en 
Hinweise:
Preprint 
Status:
Erstveröffentlichung 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text