Estimation for Non-Negative Lévy-Driven Carma Processes
Bibliographic Data
| ID | 19418037 |
|---|---|
| Authors | Peter J Brockwell (0000-0002-9992-7767, Colorado State University), Richard A Davis (0000-0002-9062-5754, Columbia University), Yu Yang (0000-0001-9283-0068) |
| Year | 2011 |
| Volume | 29 |
| Issue | 2 |
| Pages | 250-259 |
| Publication date | 2011-04-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1198/jbes.2010.08165 |
| OpenAlex | W2041874997 |
| Language | EN |
| References cited | 13 |
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 realization of the underlying Lévy process can be estimated from closely-spaced observations of the process itself. In this article we show how the ideas of that article can be generalized to higher order CARMA processes with nonnegative kernel, the key idea being the decomposition of the CARMA process into a sum of dependent Ornstein–Uhlenbeck processes
Autoregressive model · Combinatorics · Econometrics · Kernel density estimation · Lévy process · Statistics · Stochastic process · Computer Science · Financial Risk and Volatility Modeling · Mathematics · Statistical Distribution Estimation and Applications · Stochastic processes and financial applications · Applied Mathematics
| Citation velocity | historical |
|---|---|
| Highly cited | No |