High‐frequency sampling of a continuous‐time ARMA process
High‐frequency sampling of a continuous‐time ARMA process
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连续时间 ARMA 过程的高频采样
DOI：
10.1111/j.1467-9892.2011.00748.x
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发表时间：
2011
影响因子：
0.9
通讯作者：
C. Klüppelberg
中科院分区：
文献类型：
--
作者：
P. Brockwell;V. Ferrazzano;C. Klüppelberg
连续时间自回归移动平均（CARMA）过程最近被广泛用于非均匀间隔数据的建模，并作为处理形式为n = 0，1，2，...的高频数据的工具，其中Δ很小且为正。 这种数据出现在许多应用领域，特别是在金融和湍流研究中。这篇文章关注的是当Δ很小并且潜在的连续时间过程是指定的CARMA过程时过程的特性。
Continuous‐time autoregressive moving average (CARMA) processes have recently been used widely in the modelling of non‐uniformly spaced data and as a tool for dealing with high‐frequency data of the form ,n = 0, 1, 2,…, where Δ is small and positive. Such data occur in many fields of application, particularly in finance and in the study of turbulence. This article is concerned with the characteristics of the process , when Δ is small and the underlying continuous‐time process is a specified CARMA process.