User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Fasen, V., and Fuchs, F. 
Title:
Spectral Estimates for High-Frequency Sampled CARMA Processes 
Abstract:
In this article, we consider a continuous-time autoregressive moving average (CARMA) process driven by either a symmetric α-stable Lévy process with α ∈ (0,2) or a symmetric Lévy process with finite second moments. In the asymptotic framework of high-frequency data within a long time interval, we establish a consistent estimate for the normalized power transfer function by applying a smoothing filter to the periodogram of the CARMA process. We use this result to propose an estimator for the para...    »
 
Keywords:
CARMA process; consistency; high-frequency data; Lévy process; parameter estimation; periodogram; power transfer function; smoothed periodogram; spectral estimation 
Journal title:
Journal of Time Series Analysis 
Year:
2013 
Journal volume:
34 
Journal issue:
Pages contribution:
532-551 
Reviewed:
ja 
Language:
en 
Fulltext / DOI:
Status:
Postprint / reviewed 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text