Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/68514 
Year of Publication: 
2011
Series/Report no.: 
Reihe Ökonomie / Economics Series No. 274
Publisher: 
Institute for Advanced Studies (IHS), Vienna
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.
Subjects: 
CARMA
maximum-likelihood
spectrum
Kalman filter
computation
JEL: 
C01
C10
C22
C53
C63
Document Type: 
Working Paper

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