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Title:

Estimation of causal continuous‐time autoregressive moving average random fields

Document type:
Zeitschriftenaufsatz
Author(s):
Klüppelberg, Claudia; Pham, Viet Son
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,...     »
Dewey Decimal Classification:
510 Mathematik
Journal title:
Scandinavian Journal of Statistics
Year:
2020
Journal volume:
48
Year / month:
2020-01
Quarter:
1. Quartal
Month:
Jan
Journal issue:
1
Pages contribution:
132-163
Language:
en
Fulltext / DOI:
doi:10.1111/sjos.12444
Publisher:
Wiley
E-ISSN:
0303-68981467-9469
Status:
Erstveröffentlichung
Date of publication:
24.01.2020
Semester:
WS 19-20
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
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