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arXiv · 1509.01384

Limit behaviour of the truncated pathwise Fourier-transformation of L\'evy-driven CARMA processes for non-equidistant discrete time observations

Robert Stelzer·Żywilla fechner
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Abstract

This paper considers a continuous time analogue of the classical autoregressive moving average processes, L\'evy-driven CARMA processes. First we describe limiting properties of the periodogram by means of the so-called truncated Fourier transform if observations are available continuously. The obtained results are in accordance with their counterparts from the discrete-time case. Then we discuss the numerical approximation of the truncated Fourier transform based on non-equidistant high frequency data. In order to ensure convergence of the numerical approximation to the true value of the truncated Fourier transform a certain control on the maximal distance between observations and the number of observations is needed. We obtain both convergence to the continuous time quantity and asymptotic normality under a high-frequency infinite time horizon limit.

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Robert Stelzer, Żywilla fechner. 2015-09-04. Limit behaviour of the truncated pathwise Fourier-transformation of L\'evy-driven CARMA processes for non-equidistant discrete time observations. https://arxiv.org/abs/1509.01384

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