Some computational aspects of Gaussian CARMA modelling

Helgi Tómasson

Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown. -- CARMA ; maximum-likelihood ; spectrum ; Kalman filter ; computation

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Year of publication:	2011
Authors:	Tómasson Helgi
Publisher:	Wien : IHS
Subject:	ARMA-Modell \| ARMA model \| Zustandsraummodell \| State space model \| Zeitreihenanalyse \| Time series analysis \| Theorie \| Theory \| Ökonometrie \| Datenanalyse

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Extent:	Online-Ressource graph. Darst.
Series:	IHS economics series : working paper. - Wien : IHS, ZDB-ID 2537878-8. - Vol. 274
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/68514 [Handle]
Classification:	C01 - Econometrics ; C10 - Econometric and Statistical Methods: General. General ; C22 - Time-Series Models ; C53 - Forecasting and Other Model Applications ; C63 - Computational Techniques
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10009685469