Some Computational Aspects of Gaussian CARMA Modelling

Tómasson, Helgi (September 2011) Some Computational Aspects of Gaussian CARMA Modelling. IHS Economics Series 274

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Abstract or Table of Contents

Abstract: 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.;

Item Type: IHS Series
Keywords: 'CARMA' 'Maximum-likelihood' 'Spectrum' 'Kalman filter' 'Computation'
Classification Codes (e.g. JEL): C01, C10, C22, C53, C63
Status: Published
Date Deposited: 26 Sep 2014 10:39
Last Modified: 24 Jul 2017 22:21
URI: http://irihs.ihs.ac.at/id/eprint/2090

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