Some Computational Aspects of Gaussian CARMA Modelling

Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown.

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Year of publication:	2011-09
Authors:	Tómasson, Helgi
Institutions:	Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
Subject:	CARMA \| maximum-likelihood \| spectrum \| Kalman filter \| computation

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Extent:	application/pdf
Series:	Economics Series.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 274 22 pages
Classification:	C01 - Econometrics ; C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; C63 - Computational Techniques
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009323547