Peter J Brockwell
Biographic Data
| ID | 8920516 |
|---|---|
| NAME | Peter J Brockwell |
| GIVEN NAMES | Peter J |
| FAMILY NAME | Brockwell |
| SIGNATURE | BROCKWELL P J |
| AFFILIATIONS | Colorado State University |
| ORCID | 0000-0002-9992-7767 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2011 |
| LATEST PUBLICATION YEAR | 2011 |
| H-INDEX | 0 |
Estimation for Non-Negative Lévy-Driven Carma Processes
Continuous-time autoregressive moving average (CARMA) processes with a nonnegative kernel and driven by a nondecreasing Lévy process constitute a useful and very general class of stationary, nonnegative continuous-time processes that have been used, in particular, for the modeling of stochastic volatility. Brockwell, Davis, and Yang (2007) derived efficient estimates of the parameters of a nonnegative Lévy-driven CAR(1) process and showed how the…
No prominent works on this page.
Estimation for Non-Negative Lévy-Driven Carma Processes
Continuous-time autoregressive moving average (CARMA) processes with a nonnegative kernel and driven by a nondecreasing Lévy process constitute a useful and very general class of stationary, nonnegative continuous-time processes that have been used, in particular, for the modeling of stochastic volatility. Brockwell, Davis, and Yang (2007) derived efficient estimates of the parameters of a nonnegative Lévy-driven CAR(1) process and showed how the…
Applied Mathematics (1 work) · Autoregressive model (1 work) · Combinatorics (1 work) · Computer Science (1 work) · Econometrics (1 work) · Financial Risk and Volatility Modeling (1 work) · Kernel density estimation (1 work) · Lévy process (1 work) · Mathematics (1 work) · Statistical Distribution Estimation and Applications (1 work)