Arbeitspapier
Some computational aspects of Gaussian CARMA modelling
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.
- Language
-
Englisch
- Bibliographic citation
-
Series: Reihe Ökonomie / Economics Series ; No. 274
- Classification
-
Wirtschaft
Econometrics
Econometric and Statistical Methods and Methodology: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Forecasting Models; Simulation Methods
Computational Techniques; Simulation Modeling
- Subject
-
CARMA
maximum-likelihood
spectrum
Kalman filter
computation
- Event
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Geistige Schöpfung
- (who)
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Tómasson, Helgi
- Event
-
Veröffentlichung
- (who)
-
Institute for Advanced Studies (IHS)
- (where)
-
Vienna
- (when)
-
2011
- Handle
- Last update
-
10.03.2025, 11:43 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Tómasson, Helgi
- Institute for Advanced Studies (IHS)
Time of origin
- 2011
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