High-frequency sampling of a continuous-time ARMA process
نویسندگان
چکیده
منابع مشابه
High frequency sampling of a continuous-time ARMA process
Continuous-time autoregressive moving average (CARMA) processes have recently been used widely in the modeling of non-uniformly spaced data and as a tool for dealing with high-frequency data of the form Yn∆, n = 0, 1, 2, . . ., where ∆ is small and positive. Such data occur in many fields of application, particularly in finance and the study of turbulence. This paper is concerned with the chara...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2011
ISSN: 0143-9782
DOI: 10.1111/j.1467-9892.2011.00748.x