Robust estimation of stationary continuous‐time arma models via indirect inference-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Robust estimation of stationary continuous‐time arma models via indirect inference

Published:2020-05-06 Issue:5 Volume:41 Page:620-651
ISSN:0143-9782
Container-title:Journal of Time Series Analysis
language:en
Short-container-title:J. Time Ser. Anal.

Author:

Fasen‐Hartmann Vicky¹^ORCID,Kimmig Sebastian²

Affiliation:

1. Institute of StochasticsKarlsruhe Germany

2. Württembergische Versicherung AGStuttgart Germany

Funder

Deutsche Forschungsgemeinschaft

Publisher

Wiley

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/jtsa.12526

Reference66 articles.

1. Robust Estimation in Vector Autoregressive Moving-Average Models

2. Futures pricing in electricity markets based on stable CARMA spot models

3. The CARMA interest rate model;Benth FE;International Journal of Theoretical and Applied Finance,2014

4. Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models

5. Chapter 20 Continuous time stochastic models and issues of aggregation over time

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. A note on the embeddability conditions in the case of integrated carma (2, 1) stochastic process with single and double zero roots;Journal of Time Series Analysis;2024-01-08

2. An option pricing model based on a renewable energy price index;Energy;2022-01

3. Factorization and discrete-time representation of multivariate CARMA processes;Latin American Journal of Probability and Mathematical Statistics;2022

4. Whittle estimation for continuous-time stationary state space models with finite second moments;Annals of the Institute of Statistical Mathematics;2021-07-31

5. Indirect inference for time series using the empirical characteristic function and control variates;Journal of Time Series Analysis;2021-02-08

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3