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- W4300574256 abstract "We consider high-frequency sampled continuous-time autoregressive moving average (CARMA) models driven by finite-variance zero-mean L'evy processes. An L^2-consistent estimator for the increments of the driving L'evy process without order selection in advance is proposed if the CARMA model is invertible. In the second part we analyse the high-frequency behaviour of approximating Riemann sum processes, which represent a natural way to simulate continuous-time moving average processes on a discrete grid. We shall compare their autocovariance structure with the one of sampled CARMA processes, where the rule of integration plays a crucial role. Moreover, new insight into the kernel estimation procedure of Brockwell et al. (2012a) is given." @default.
- W4300574256 created "2022-10-03" @default.
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- W4300574256 date "2012-10-04" @default.
- W4300574256 modified "2023-09-30" @default.
- W4300574256 title "Noise recovery for L'evy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums" @default.
- W4300574256 doi "https://doi.org/10.48550/arxiv.1210.1389" @default.
- W4300574256 hasPublicationYear "2012" @default.
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