Some computational aspects of Gaussian CARMA modelling

Helgi Tómasson

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
Authors:	Tómasson, Helgi
Publisher:	Wien : Inst. für Höhere Studien (IHS)
Subject:	Ökonometrie \| Datenanalyse \| Zeitreihenanalyse
Description of contents:	Table of Contents [digitool.hbz-nrw.de]

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Extent:	22 S. : graph. Darst.
Series:	Reihe Ökonomie / Institut für Höhere Studien (IHS), Wien. - Wien : IHS, ISSN 1605-7996. - Vol. 274
Type of publication:	Book / Working Paper
Language:	English
Notes:	Literaturverz. S. 20 - 22
ISBN:	geh
Other identifiers:	OBVTAC08778544 [ZDB]
Source:	USB Köln Online Catalogue BWL

Persistent link: https://www.econbiz.de/10009420708