High frequency sampling of a continuous-time ARMA process

Abstract

Continuous-time autoregressive moving average (CARMA) processes have recently been used widely in the modeling of non-uniformly spaced data and as a tool for dealing with high-frequency data of the form $Y_{n\Delta}, n=0,1,2,...$, where $\Delta$ is small and positive. Such data occur in many fields of application, particularly in finance and the study of turbulence. This paper is concerned with the characteristics of the process (Y_{n\Delta})_{n\in\bbz}, when $\Delta$ is small and the underlying continuous-time process (Y_t)_{t\in\bbr} is a specified CARMA process.Comment: 13 pages, submitte