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. -- CARMA ; maximum-likelihood ; spectrum ; Kalman filter ; computation

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Year of publication:	2011
Authors:	Tómasson Helgi
Publisher:	Wien : IHS
Subject:	ARMA-Modell \| ARMA model \| Zustandsraummodell \| State space model \| Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| Ökonometrie \| Datenanalyse

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Some computational aspects of Gaussian CARMA modelling. - Wien : Inst. für Höhere Studien (IHS), 2011. - 22 S.

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