High frequency sampling of a continuous-time ARMA process
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 Yn, n=0,1,2,..., where 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 (Yn)n∈, when is small and the underlying continuous-time process (Yt)t∈ is a specified CARMA process.
0
Turn this paper into a lesson
ArcXiv compiles a structured reading guide from this paper's metadata: plain-English importance, contributions, prerequisite concepts, which sections to read first, flashcards, and a quiz. Grounded in the abstract, never invented.