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math.ST2011★ 1 cited
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…
math.ST2011★ 13 cited
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…