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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Fasen, V., and Fuchs, F. 
Titel:
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...    »
 
Stichworte:
CARMA process; consistency; high-frequency data; Lévy process; parameter estimation; periodogram; power transfer function; smoothed periodogram; spectral estimation 
Zeitschriftentitel:
Journal of Time Series Analysis 
Jahr:
2013 
Band / Volume:
34 
Heft / Issue:
Seitenangaben Beitrag:
532-551 
Reviewed:
ja 
Sprache:
en 
Status:
Postprint / reviewed 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text