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Document type:
Zeitschriftenaufsatz 
Author(s):
Brockwell, P.J., Ferrazzano, V. and Klüppelberg, C. 
Title:
High-frequency sampling of a continuous-time ARMA processes 
Abstract:
Interest in continuous-time processes has increased rapidly in recent years, largely because of the high-frequency data available in many areas of application, particularly in finance and turbulence. We develop a method for estimating the kernel function of a continuous-time moving average (CMA) process Y which takes advantage of the high-frequency of the data. In order to do so we examine the relation between the CMA process Y and the discrete-time process $Y^\Delta$ obtained by s...    »
 
Keywords:
CARMA process, continuous-time moving average process, discretely sampled process, FICARMA process, gamma kernel, high frequency data, Kaimal spectrum, kernel estimation, regular variation, spectral theory, von Karman spectrum, Whittle-Matern autocorrelation 
Journal title:
J. Time Series Analysis 
Year:
2012 
Month:
Jan 
Journal issue:
33 (1) 
Pages contribution:
152-160 
Reviewed:
ja 
Language:
en 
Status:
Erstveröffentlichung 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text