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Search: subject:"Continuous time ARMA process"
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ARMA model
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Continuous time ARMA process
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Discrete time representation
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Estimation theory
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Non-linear time series
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Schätztheorie
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approximation of diffusion processes
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continuous-time ARMA process
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stochastic differential equation
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Brockwell, P.
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Chambers, Marcus J.
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Stramer, O.
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Thornton, Michael A.
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Annals of the Institute of Statistical Mathematics
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Journal of empirical finance
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The exact discretisation of CARMA models with applications in finance
Thornton, Michael A.
;
Chambers, Marcus J.
- In:
Journal of empirical finance
38
(
2016
),
pp. 739-761
Persistent link: https://www.econbiz.de/10011663785
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On the approximation of continuous time threshold ARMA processes
Brockwell, P.
;
Stramer, O.
- In:
Annals of the Institute of Statistical Mathematics
47
(
1995
)
1
,
pp. 1-20
Persistent link: https://www.econbiz.de/10005169284
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