Some computational aspects of Gaussian CARMA modelling
نویسنده
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.
منابع مشابه
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ورودعنوان ژورنال:
- Statistics and Computing
دوره 25 شماره
صفحات -
تاریخ انتشار 2015