Some Computational Aspects of Gaussian CARMA Modelling

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


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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
Date Deposited: 26 Sep 2014 10:39
Last Modified: 27 Sep 2019 06:30
ISBN: 1605-7996

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