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math.PR2018
Limit theorems for quadratic forms and related quantities of discretely sampled continuous-time moving averages
Mikkel Slot Nielsen, Jan Pedersen
The limiting behavior of Toeplitz type quadratic forms of stationary processes has received much attention through decades, particularly due to its importance in statistical estima…
math.PR2018
Multivariate stochastic delay differential equations and CAR representations of CARMA processes
Andreas Basse-O'Connor, Mikkel Slot Nielsen, Jan Pedersen +1
In this study we show how to represent a continuous time autoregressive moving average (CARMA) as a higher order stochastic delay differential equation, which may be thought of as…