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Some Computational Aspects of Gaussian CARMA Modelling

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  • Tómasson, Helgi

    (Faculty of Economics, University of Iceland, Reykjavik, Iceland)

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    Abstract

    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.

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    File URL: http://www.ihs.ac.at/publications/eco/es-274.pdf
    File Function: First version, 2011
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    Bibliographic Info

    Paper provided by Institute for Advanced Studies in its series Economics Series with number 274.

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    Length: 22 pages
    Date of creation: Sep 2011
    Date of revision:
    Handle: RePEc:ihs:ihsesp:274

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    Related research

    Keywords: CARMA; maximum-likelihood; spectrum; Kalman filter; computation;

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    1. Robert F. Engle & Jeffrey R. Russell, 1998. "Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data," Econometrica, Econometric Society, vol. 66(5), pages 1127-1162, September.
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