High-frequency sampling of a continuous-time ARMA process

被引：12
|
作者：
Brockwell, Peter J. [2 ,3 ]
Ferrazzano, Vincenzo [1 ]
Klueppelberg, Claudia
机构：
[1] Tech Univ Munich, Ctr Math Sci, D-85748 Garching, Germany
[2] Colorado State Univ, Ft Collins, CO 80523 USA
[3] Columbia Univ, New York, NY 10027 USA
来源：
JOURNAL OF TIME SERIES ANALYSIS | 2012年 / 33卷 / 01期
基金：
美国国家科学基金会;
关键词：
CARMA process; high-frequency data; discretely sampled process; LEVY-DRIVEN;
D O I：
10.1111/j.1467-9892.2011.00748.x
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Continuous-time autoregressive moving average (CARMA) processes have recently been used widely in the modelling of non-uniformly spaced data and as a tool for dealing with high-frequency data of the form ,n = 0, 1, 2,..., where Delta is small and positive. Such data occur in many fields of application, particularly in finance and in the study of turbulence. This article is concerned with the characteristics of the process , when Delta is small and the underlying continuous-time process is a specified CARMA process.
引用
收藏
页码：152 / 160
页数：9
相关论文
共 50 条
12345