Lévy-driven continuous-time ARMA processes
Year of publication: |
2009
|
---|---|
Authors: | Brockwell, Peter J. |
Published in: |
Handbook of financial time series. - Berlin, Heidelberg : Springer, ISBN 3-540-71296-8. - 2009, p. 457-480
|
Subject: | ARMA-Modell | ARMA model | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
-
Diagnostic checking of unobserved components : time series models
Harvey, Andrew C., (1992)
-
Forecasting, misspecification and unit roots : the case of AR(1) versus ARMA(1,1)
Magnus, Jan R., (1990)
-
Stability analysis in ARMA and unobserved component models
Hoyo Bernat, Juan del, (2007)
- More ...
-
Sampling, Embedding and Inference for CARMA Processes
Brockwell, Peter J., (2018)
-
Aspects of non‐causal and non‐invertible CARMA processes
Brockwell, Peter J., (2021)
-
A continuous time GARCH process of higher order
Brockwell, Peter J., (2005)
- More ...