CARMA Approximations and Estimation

Set estimation via ellipsoidal approximations

We present ellipsoid algorithms for convexly constrained estimation and design problems. The proposed polynomial time algorithms yield both an estimate of the complete set of feasible solutions and a point estimate in the interior. Optimal cutting hyperplanes are derived, and a computation-ally eecient sequential cut algorithm is proven to provide estimation performance achieving the best exist...

CARMA Correlator CDR

Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes

We consider quasi maximum likelihood (QML) estimation for general non-Gaussian discrete-time linear state space models and equidistantly observed multivariate Lévy-driven continuous-time autoregressive moving average (MCARMA) processes. In the discrete-time setting, we prove strong consistency and asymptotic normality of the QML estimator under standard moment assumptions and a strong-mixing co...

Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations

We consider the parametric estimation of the driving Lévy process of a multivariate continuous-time autoregressive moving average (MCARMA) process, which is observed on the discrete time grid (0, h, 2h, . . .). Beginning with a new state space representation, we develop a method to recover the driving Lévy process exactly from a continuous record of the observed MCARMA process. We use tools fro...

Modelling ambulance deployment with CARMA

CARMA is process-algebra influenced language for the quantitative modelling of collective adaptive systems which involve collaboration and coordination. These systems consist of multiple components that interact to achieve certain goals and that adapt to changes in the environment. As a case study for the application of CARMA, this paper presents an ambulance deployment system where ambulances ...