A Note on the Covariance Structure of a Continuous-time Arma Process
نویسندگان
چکیده
We have derived some matrix equations for speedy computation of the conditional covariance kernel of a discrete-time process obtained from irregularly sampling an underlying continuous-time ARMA process. These results are applicable to both stationary and non-stationary ARMA processes. We have also demonstrated that these matrix results can be useful in shedding new insights on the covariance structure of a continuous-time ARMA process.
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