Fasen‐Hartmann, Vicky; Kimmig, Sebastian - In: Journal of Time Series Analysis 41 (2020) 5, pp. 620-651
In this article, we present a robust estimator for the parameters of a stationary, but not necessarily Gaussian, continuous-time ARMA(p,q) (CARMA(p,q)) process that is sampled equidistantly. Therefore, we propose an indirect estimation procedure that first estimates the parameters of the...