Some Computational Aspects of Gaussian CARMA Modelling
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.
Saved in:
| Published in | IDEAS Working Paper Series from RePEc |
|---|---|
| Main Author | |
| Format | Paper |
| Language | English |
| Published |
St. Louis
Federal Reserve Bank of St. Louis
01.01.2011
|
| Online Access | Get full text |
Cover
Loading…
| Summary: | 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. |
|---|