Implementation of Lévy CARMA model in Yuima package
نویسندگان
چکیده
منابع مشابه
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...
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ژورنال
عنوان ژورنال: Computational Statistics
سال: 2015
ISSN: 0943-4062,1613-9658
DOI: 10.1007/s00180-015-0569-7