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Title:

Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes

Document type:
Zeitschriftenaufsatz
Author(s):
Kevei, P.
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...     »
Keywords:
Multivariate continuous time autoregressive moving average (CARMA) process, Spectral density, High-frequency sampling, Discretely sampled process
Journal title:
Annals of the Institute of Statistical Mathematics
Year:
2017
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1007/s10463-017-0601-5
Publisher:
Springer
Status:
Preprint / submitted
Date of publication:
20.02.2017
Semester:
WS 16-17
TUM Institution:
Lehrstuhl für Mathematische Statistik
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