Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/68514
Authors: 
Tómasson, Helgi
Year of Publication: 
2011
Series/Report no.: 
Reihe Ökonomie, Institut für Höhere Studien 274
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

Files in This Item:
File
Size





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.