, continuous-time ARMA(p,q) (CARMA(p,q)) process that is sampled equidistantly. Therefore, we propose an indirect estimation … procedure that first estimates the parameters of the auxiliary AR(r) representation (r ≥ 2p−1) of the sampled CARMA process … parameters of the CARMA process is not given explicitly, a separate simulation part is necessary where the parameters of the AR …

techniques from extreme event modelling to tune seasonal volatility and compare transformed Gaussian and non-Gaussian CARMA(p; q …) models. Our results indicate that the transformed Gaussian CARMA(p; q) model is preferred over the non-Gaussian alternative …

techniques from extreme event modelling to tune seasonal volatility and compare transformed Gaussian and non-Gaussian CARMA(p; q …) models. Our results indicate that the transformed Gaussian CARMA(p; q) model is preferred over the non-Gaussian alternative …