Benutzer: Gast  Login

Titel:

High-frequency sampling of a continuous-time ARMA processes

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Brockwell, P.J., Ferrazzano, V. and Klüppelberg, C.
Abstract:
Interest in continuous-time processes has increased rapidly in recent years, largely because of the high-frequency data available in many areas of application, particularly in finance and turbulence. We develop a method for estimating the kernel function of a continuous-time moving average (CMA) process Y which takes advantage of the high-frequency of the data. In order to do so we examine the relation between the CMA process Y and the discrete-time process $Y^\Delta$ obtained by samplin...     »
Stichworte:
CARMA process, continuous-time moving average process, discretely sampled process, FICARMA process, gamma kernel, high frequency data, Kaimal spectrum, kernel estimation, regular variation, spectral theory, von Karman spectrum, Whittle-Matern autocorrelation
Zeitschriftentitel:
J. Time Series Analysis
Jahr:
2012
Monat:
Jan
Heft / Issue:
33 (1)
Seitenangaben Beitrag:
152-160
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1111/j.1467-9892.2011.00748.x
Status:
Erstveröffentlichung
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX