13 citations · 14 across the 4 of their papers we have counts for
4 papers
Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
Vincenzo Ferrazzano, Florian Fuchs
We consider high-frequency sampled continuous-time autoregressive moving average (CARMA) models driven by finite-variance zero-mean Lévy processes. An L^2-consistent estimator for…
Turbulence modeling by time-series methods
Vincenzo Ferrazzano, Claudia Klüppelberg
A general model for stationary, time-wise turbulent velocity is presented and discussed. This approach, inspired by modeling ideas of Barndorff-Nielsen and Schimgel, is coherent wi…
High-frequency sampling and kernel estimation for continuous-time moving average processes
Peter Brockwell, Vincenzo Ferrazzano, Claudia Klüppelberg
Interest in continuous-time processes has increased rapidly in recent years, largely because of high-frequency data available in many applications. We develop a method for estimati…
High frequency sampling of a continuous-time ARMA process
Peter J. Brockwell, Vincenzo Ferrazzano, Claudia Klüppelberg
Continuous-time autoregressive moving average (CARMA) processes have recently been used widely in the modeling of non-uniformly spaced data and as a tool for dealing with high-freq…