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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Reihe Ökonomie / Economics Series ; No. 274
- Klassifikation
-
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
- Thema
-
CARMA
maximum-likelihood
spectrum
Kalman filter
computation
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Tómasson, Helgi
- Ereignis
-
Veröffentlichung
- (wer)
-
Institute for Advanced Studies (IHS)
- (wo)
-
Vienna
- (wann)
-
2011
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Tómasson, Helgi
- Institute for Advanced Studies (IHS)
Entstanden
- 2011
Ähnliche Objekte (12)
Computational aspects of simultaneous Gaussian quadrature
Some Aspects of Geodetic Time Series Modelling
Uncertainty modelling and computational aspects of data association
On robust Gaussian Graphical Modelling
Computational aspects of some problems from discrete geometry in higher dimensions
Computational aspects of some problems from discrete geometry in higher dimensions
Gaussian process based surrogate modelling of acoustic systems
Gaussian process based surrogate modelling of acoustic systems
Theoretical and computational chemistry aspects
Computational aspects of model choice
Computational aspects of dependence logic
Computational aspects of orbifold equivalence
Computational aspects of simultaneous Gaussian quadrature
Some Aspects of Geodetic Time Series Modelling
Uncertainty modelling and computational aspects of data association
On robust Gaussian Graphical Modelling
Computational aspects of some problems from discrete geometry in higher dimensions
Computational aspects of some problems from discrete geometry in higher dimensions
Gaussian process based surrogate modelling of acoustic systems
Gaussian process based surrogate modelling of acoustic systems
Theoretical and computational chemistry aspects
Computational aspects of model choice
Computational aspects of dependence logic
Computational aspects of orbifold equivalence
Computational aspects of simultaneous Gaussian quadrature
Some Aspects of Geodetic Time Series Modelling
Uncertainty modelling and computational aspects of data association
On robust Gaussian Graphical Modelling
Computational aspects of some problems from discrete geometry in higher dimensions
Computational aspects of some problems from discrete geometry in higher dimensions
Gaussian process based surrogate modelling of acoustic systems
Gaussian process based surrogate modelling of acoustic systems
Theoretical and computational chemistry aspects
Computational aspects of model choice
Computational aspects of dependence logic