Continuous time ARMA processes : discrete time representation and likelihood evaluation
Year of publication: |
June 2017
|
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Authors: | Thornton, Michael A. ; Chambers, Marcus J. |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 79.2017, p. 48-65
|
Subject: | Continuous time | ARMA process | State space | Discrete time representation | Mixed frequency | Theorie | Theory | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | ARMA-Modell | ARMA model |
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