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
Authors:	Tómasson, Helgi
Publisher:	Vienna : Institute for Advanced Studies (IHS)
Subject:	CARMA \| maximum-likelihood \| spectrum \| Kalman filter \| computation

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Series:	Reihe Ökonomie / Economics Series ; 274
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	734385374 [GVK] hdl:10419/68514 [Handle] RePEc:ihs:ihsesp:274 [RePEc]
Classification:	C01 - Econometrics ; C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; C63 - Computational Techniques
Source:	EconStor

Persistent link: https://www.econbiz.de/10010290990