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Titel:

Spectral Estimates for High-Frequency Sampled CARMA Processes

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Fasen, V., and Fuchs, F.
Abstract:
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...     »
Stichworte:
CARMA process; consistency; high-frequency data; Lévy process; parameter estimation; periodogram; power transfer function; smoothed periodogram; spectral estimation
Zeitschriftentitel:
Journal of Time Series Analysis
Jahr:
2013
Band / Volume:
34
Heft / Issue:
5
Seitenangaben Beitrag:
532-551
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:10.1111/jtsa.12029
Status:
Postprint / reviewed
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
 BibTeX