Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes

Vicky Fasen; Florian Fuchs

doi:10.1111/jtsa.12029

Spectral estimates for high-frequency sampled continuous-time autoregressive moving average processes

Journal of Time Series Analysis ◽

10.1111/jtsa.12029 ◽

2013 ◽

Vol 34 (5) ◽

pp. 532-551 ◽

Cited By ~ 7

Author(s):

Vicky Fasen ◽

Florian Fuchs

Keyword(s):

Continuous Time ◽

High Frequency ◽

Moving Average ◽

Autoregressive Moving Average ◽

Spectral Estimates ◽

Moving Average Processes

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On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets

Energy Economics ◽

10.1016/j.eneco.2013.07.007 ◽

2013 ◽

Vol 40 ◽

pp. 259-268 ◽

Cited By ~ 7

Author(s):

Fred Espen Benth ◽

Che Mohd Imran Che Taib

Keyword(s):

Continuous Time ◽

Moving Average ◽

Energy Markets ◽

Autoregressive Moving Average ◽

Moving Average Processes ◽

The Mean

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Sample Path Generation of Lévy-Driven Continuous-Time Autoregressive Moving Average Processes

Methodology And Computing In Applied Probability ◽

10.1007/s11009-015-9472-5 ◽

2015 ◽

Vol 19 (1) ◽

pp. 175-211 ◽

Cited By ~ 4

Author(s):

Reiichiro Kawai

Keyword(s):

Continuous Time ◽

Moving Average ◽

Sample Path ◽

Autoregressive Moving Average ◽

Path Generation ◽

Moving Average Processes

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High-frequency sampling and kernel estimation for continuous-time moving average processes

Journal of Time Series Analysis ◽

10.1111/jtsa.12022 ◽

2013 ◽

Vol 34 (3) ◽

pp. 385-404 ◽

Cited By ~ 19

Author(s):

Peter J. Brockwell ◽

Vincenzo Ferrazzano ◽

Claudia Klüppelberg

Keyword(s):

Continuous Time ◽

High Frequency ◽

Moving Average ◽

Kernel Estimation ◽

Frequency Sampling ◽

Moving Average Processes ◽

High Frequency Sampling

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Continuous-Time Autoregressive Moving-Average Processes in Hilbert Space

Computation and Combinatorics in Dynamics, Stochastics and Control - Abel Symposia ◽

10.1007/978-3-030-01593-0_11 ◽

2018 ◽

pp. 297-320

Author(s):

Fred Espen Benth ◽

André Süss

Keyword(s):

Hilbert Space ◽

Continuous Time ◽

Moving Average ◽

Autoregressive Moving Average ◽

Moving Average Processes

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Continuous-time autoregressive moving average processes in discrete time: representation and embeddability

Journal of Time Series Analysis ◽

10.1111/jtsa.12030 ◽

2013 ◽

Vol 34 (5) ◽

pp. 552-561 ◽

Cited By ~ 5

Author(s):

Michael A. Thornton ◽

Marcus J. Chambers

Keyword(s):

Discrete Time ◽

Continuous Time ◽

Moving Average ◽

Autoregressive Moving Average ◽

Time Representation ◽

Moving Average Processes

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Continuous time autoregressive moving average processes with random Lévy coefficients

Latin American Journal of Probability and Mathematical Statistics ◽

10.30757/alea.v14-13 ◽

2017 ◽

Vol 14 (1) ◽

pp. 219

Author(s):

Dirk-Philip Brandes

Keyword(s):

Continuous Time ◽

Moving Average ◽

Autoregressive Moving Average ◽

Moving Average Processes

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On continuous-time autoregressive fractionally integrated moving average processes

Bernoulli ◽

10.3150/08-bej143 ◽

2009 ◽

Vol 15 (1) ◽

pp. 178-194 ◽

Cited By ~ 13

Author(s):

Henghsiu Tsai

Keyword(s):

Continuous Time ◽

Moving Average ◽

Moving Average Processes

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On the asymptotics of residuals in autoregressive moving average processes with one autoregressive unit root

Statistics & Probability Letters ◽

10.1016/0167-7152(95)00095-x ◽

1996 ◽

Vol 27 (4) ◽

pp. 341-346

Author(s):

Chul Gyu Park ◽

Dong Wan Shin

Keyword(s):

Unit Root ◽

Moving Average ◽

Autoregressive Moving Average ◽

Moving Average Processes

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NON-STATIONARY AUTOREGRESSIVE MOVING-AVERAGE PROCESSES WITH INFINITE VARIANCE

Journal of Time Series Analysis ◽

10.1111/j.1467-9892.1993.tb00146.x ◽

1993 ◽

Vol 14 (3) ◽

pp. 297-304

Author(s):

Dankit Nassiuma

Keyword(s):

Moving Average ◽

Infinite Variance ◽

Autoregressive Moving Average ◽

Moving Average Processes

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On Maximum Likelihood Estimation of Parameters of Autoregressive Moving Average Processes

Transactions of the Seventh Prague Conference on Information Theory, Statistical Decision Functions, Random Processes and of the 1974 European Meeting of Statisticians ◽

10.1007/978-94-010-9910-3_4 ◽

1977 ◽

pp. 37-45 ◽

Cited By ~ 1

Author(s):

T. W. Anderson

Keyword(s):

Maximum Likelihood ◽

Maximum Likelihood Estimation ◽

Moving Average ◽

Likelihood Estimation ◽

Autoregressive Moving Average ◽

Estimation Of Parameters ◽

Moving Average Processes

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