Some computational aspects of Gaussian CARMA modelling

نویسنده

  • Helgi Tómasson
چکیده

Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown.

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عنوان ژورنال:
  • Statistics and Computing

دوره 25  شماره 

صفحات  -

تاریخ انتشار 2015