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arXiv · 1104.0554

High frequency sampling of a continuous-time ARMA process

Peter J. Brockwell·Vincenzo Ferrazzano·Claudia Klüppelberg
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Abstract

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-frequency data of the form $Y_{n\Delta}, n=0,1,2,...$, where $\Delta$ is small and positive. Such data occur in many fields of application, particularly in finance and the study of turbulence. This paper is concerned with the characteristics of the process $(Y_{n\Delta})_{n\in\bbz}$, when $\Delta$ is small and the underlying continuous-time process $(Y_t)_{t\in\bbr}$ is a specified CARMA process.

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Peter J. Brockwell, Vincenzo Ferrazzano, Claudia Klüppelberg. 2011-04-04. High frequency sampling of a continuous-time ARMA process. https://doi.org/10.1111/j.1467-9892.2011.00748.x

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