High frequency sampling of a continuous-time ARMA process
نویسنده
چکیده
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 characteristics of the process (Yn∆)n∈Z, when ∆ is small and the underlying continuous-time process (Yt)t∈R is a specified CARMA process. AMS 2000 Subject Classifications: 60G51, 62M10.
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