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.CARMA, maximum-likelihood, spectrum, Kalman filter, computation

Tómasson, Helgi

English

Research Papers in Economics

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Author: Helgi Tómasson Title: Some Computational Aspects of Gaussian CARMA Modelling Reihe Ökonomie / Economics Series 274 Editor: Robert M. Kunst (Econometrics) Associate Editors: Walter Fisher (Macroeconomics), Klaus Ritzberger (Microeconomics)

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Some Computational Aspects of Gaussian CARMA Modelling

http://www.ihs.ac.at/publications/eco/es-274.pdf

Some Computational Aspects of Gaussian CARMA Modelling

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Research Papers in Economics