CARMA Approximations and Estimation

CARMA Approximations and Estimation

CARMA(p, q) processes are compactly defined through a stochastic differential equation (SDE) involving q + 1 derivatives of the Lévy process driving the noise, despite this latter having in general no differentiable paths. We replace the Lévy noise with a continuously differentiable process obtained...

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Bibliographic Details
Main Author: Silvia Lavagnini
Format: Article
Language:English
Published: Frontiers Media S.A. 2020-11-01
Series:Frontiers in Applied Mathematics and Statistics
Subjects:
CARMA processes
stochastic differential equations
Lévy processes
Euler approximation
stochastic convolution
normal inverse Gaussian process
Online Access:https://www.frontiersin.org/articles/10.3389/fams.2020.00037/full

Internet

https://www.frontiersin.org/articles/10.3389/fams.2020.00037/full

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