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Document type:
Zeitschriftenaufsatz 
Author(s):
Klüppelberg, C. and Pham, V.S. 
Title:
Estimation of causal continuous‐time autoregressive moving average random fields 
Abstract:
We estimate model parameters of Lévy‐driven causal continuous‐time autoregressive moving average random fields by fitting the empirical variogram to the theoretical counterpart using a weighted least squares (WLS) approach. Subsequent to deriving asymptotic results for the variogram estimator, we show strong consistency and asymptotic normality of the parameter estimator. Furthermore, we conduct a simulation study to assess the quality of the WLS estimator for finite samples. For the simulation,...    »
 
Keywords:
asymptotic properties, CARMA random fields, Lévy basis, semiparametric estimation, variogram, weighted least squares 
Dewey Decimal Classification:
510 Mathematik 
Journal title:
Scandinavian Journal of Statistics 
Year:
2020 
Year / month:
2020-01 
Quarter:
1. Quartal 
Month:
Jan 
Pages contribution:
1-32 
Language:
en 
Fulltext / DOI:
Publisher:
Wiley 
E-ISSN:
0303-68981467-9469 
Status:
Verlagsversion / published 
Accepted:
11.11.2019 
Date of publication:
24.01.2020 
Semester:
WS 19-20 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text