A note on the covariance structure of a continuous-time ARMA process

被引：0

作者：

Tsai, HS ^{[1
]}

Chan, KS

机构：

[1] Tunghai Univ, Dept Stat, Taichung 407, Taiwan

[2] Univ Iowa, Dept Stat & Actuarial Sci, Iowa City, IA 52242 USA

来源：

STATISTICA SINICA | 2000年 / 10卷 / 03期

关键词：

irregularly sampled data; Kalman filter; stochastic differential equations;

D O I：

暂无

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：

We have derived some matrix equations for speedy computation of the conditional covariance kernel of a discrete-time process obtained from irregularly sampling an underlying continuous-time ARMA process. These results are applicable to both stationary and non-stationary ARMA processes. We have also demonstrated that these matrix results can be useful in shedding new insights on the covariance structure of a continuous-time ARMA process.

引用

页码：989 / 998

页数：10

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