Spectral Estimates for High-Frequency Sampled CARMA Processes

In this article, we consider a continuous-time autoregressive moving average (CARMA) process driven by either a symmetric α-stable Lévy process with α ∈ (0,2) or a symmetric Lévy process with finite second moments. In the asymptotic framework of high-frequency data within a long time interval, we establish a consistent estimate for the normalized power transfer function by applying a smoothing filter to the periodogram of the CARMA process. We use this result to propose an estimator for the parameters of the CARMA process and exemplify the estimation procedure by a simulation study.     «

In this article, we consider a continuous-time autoregressive moving average (CARMA) process driven by either a symmetric α-stable Lévy process with α ∈ (0,2) or a symmetric Lévy process with finite second moments. In the asymptotic framework of high-frequency data within a long time interval, we establish a consistent estimate for the normalized power transfer function by applying a smoothing filter to the periodogram of the CARMA process. We use this result to propose an estimator for the para...     »