scholarly journals Robust estimation of stationary continuous‐time arma models via indirect inference

2020 ◽  
Vol 41 (5) ◽  
pp. 620-651
Author(s):  
Vicky Fasen‐Hartmann ◽  
Sebastian Kimmig
Keyword(s):  
Robust Estimation ◽  
Continuous Time ◽  
Indirect Inference ◽  
Arma Models

scholarly journals Indirect Inference for Lévy‐driven continuous‐time GARCH models

2019 ◽  
Vol 46 (3) ◽  
pp. 765-801 ◽  
Author(s):  
Thiago Rêgo Sousa ◽  
Stephan Haug ◽  
Claudia Klüppelberg
Keyword(s):  
Continuous Time ◽  
Indirect Inference ◽  
Garch Models

Indirect Inference for LLvy-Driven Continuous-Time GARCH Models

2017 ◽  
Author(s):  
Thiago do Rego Sousa ◽  
Stephan Haug ◽  
Claudia Kllppelberg
Keyword(s):  
Continuous Time ◽  
Indirect Inference ◽  
Garch Models

EM-based identification of continuous-time ARMA Models from irregularly sampled data

Automatica ◽  
2017 ◽  
Vol 77 ◽  
pp. 293-301 ◽  
Author(s):  
Fengwei Chen ◽  
Juan C. Agüero ◽  
Marion Gilson ◽  
Hugues Garnier ◽  
Tao Liu
Keyword(s):  
Continuous Time ◽  
Sampled Data ◽  
Arma Models ◽  
Irregularly Sampled Data
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