2 papers
math.ST2018
Robust estimation of stationary continuous-time ARMA models via indirect inference
Vicky Fasen-Hartmann, Sebastian Kimmig
In this paper we present a robust estimator for the parameters of a continuous-time ARMA(p,q) (CARMA(p,q)) process sampled equidistantly which is not necessarily Gaussian. Therefor…
math.PR2015
Information Criteria for Multivariate CARMA Processes
Vicky Fasen, Sebastian Kimmig
Multivariate continuous-time ARMA(p,q) (MCARMA(p,q)) processes are the continuous-time analog of the well-known vector ARMA(p,q) processes. They have attracted interest over the la…