Embedding in law of discrete time ARMA processes in continuous time stationary processes

被引：1

作者：

Arratia, Argimiro ^{[1
]}

Cabana, Alejandra ^{[2
]}

Cabana, Enrique M. ^{[3
]}

机构：

[1] Univ Politecn Cataluna, Barcelona, Spain

[2] Univ Autonoma Barcelona, Barcelona, Spain

[3] Univ Republica, Montevideo, Uruguay

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2018年 / 197卷

关键词：

Discrete-time ARMA; Continuous-time ARMA; CARMA; Levy process; Embedding;

D O I：

10.1016/j.jspi.2018.01.004

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Given any stationary time series {X-n : n is an element of Z} satisfying an ARMA(p, q) model for arbitrary p and q with infinitely divisible innovations, we construct a continuous time stationary process {chi(t) : t is an element of R} such that the distribution of {chi(n) : n is an element of Z}, the process sampled at discrete time, coincides with the distribution of {X-n}. In particular the autocovariance function of {chi(t)} interpolates that of {X-n }. (C) 2018 Elsevier B.V. All rights reserved.

引用

页码：156 / 167

页数：12

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