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Document type:
Zeitschriftenaufsatz 
Author(s):
Ferrazzano, V., and Fuchs, F. 
Title:
Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums 
Abstract:
We consider high-frequency sampled continuous-time autoregressive moving average (CARMA) models driven by finite-variance zero-mean Lévy processes. An $L^2$-consistent estimator for the increments of the driving Lévy process without order selection in advance is proposed if the CARMA model is invertible. In the second part we analyse the high-frequency behaviour of approximating Riemann sum processes, which represent a natural way to simulate continuous-time moving average models on a discrete g...    »
 
Keywords:
CARMA process; high-frequency data; Lévy process; discretely sampled process; noise recovery 
Journal title:
Electronic Journal of Statistics 
Year:
2013 
Journal volume:
Pages contribution:
533-561 
Reviewed:
ja 
Language:
en 
Fulltext / DOI:
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text