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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Kevei, P. 
Titel:
Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes 
Abstract:
High-frequency sampled multivariate continuous time autoregressive moving average processes are investigated.We obtain asymptotic expansion for the spectral density of the sampled MCARMA process (YnΔ)n∈Z as Δ ↓ 0, where (Yt )t∈R is an MCARMA process. We show that the properly filtered process is a vector moving average process, and determine the asymptotic moving average representation of it, thus generalizing the univariate results to the multivariate model. The determination of the moving aver...    »
 
Stichworte:
Multivariate continuous time autoregressive moving average (CARMA) process, Spectral density, High-frequency sampling, Discretely sampled process 
Zeitschriftentitel:
Annals of the Institute of Statistical Mathematics 
Jahr:
2017 
Reviewed:
ja 
Sprache:
en 
Verlag / Institution:
Springer 
Status:
Preprint / submitted 
Publikationsdatum:
20.02.2017 
Semester:
WS 16-17 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik