2 papers
math.ST2026
Estimation of Lévy-driven CARMA models under renewal sampling
Frank Bosserhoff, Giacomo Francisci, Robert Stelzer
Continuous-time autoregressive and moving average (CARMA) models are extensively used to model high-frequency and irregularly sampled data. We study Whittle estimation for the mode…
math.PR2024
Correction to: Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes, Bernoulli 18, pp. 46-63, 2012
Robert Stelzer
A serious flaw in the proof of the equivalence of continuous time state space models and MCARMA processes spotted in Fasen and Schenk (2024) is corrected. We point out that likewis…