High-frequency sampling and kernel estimation for continuous-time moving average processes

Peter J. Brockwell, Vincenzo Ferrazzano, Claudia Klüppelberg

Research output: Contribution to journalArticlepeer-review

22 Scopus citations

Abstract

Interest in continuous-time processes has increased rapidly in recent years, largely because of high-frequency data available in many applications. We develop a method for estimating the kernel function g of a second-order stationary Lévy-driven continuous-time moving average (CMA) process Y based on observations of the discrete-time process YΔ obtained by sampling Y at Δ,2Δ,...,nΔ for small Δ. We approximate g by gΔ based on the Wold representation and prove its pointwise convergence to g as Δ→0 for continuous-time autoregressive moving average (CARMA) processes. Two non-parametric estimators of gΔ, on the basis of the innovations algorithm and the Durbin-Levinson algorithm, are proposed to estimate g. For a Gaussian CARMA process, we give conditions on the sample size n and the grid spacing Δ(n) under which the innovations estimator is consistent and asymptotically normal as n→∞. The estimators can be calculated from sampled observations of any CMA process, and simulations suggest that they perform well even outside the class of CARMA processes. We illustrate their performance for simulated data and apply them to the Brookhaven turbulent wind speed data. Finally, we extend results of Brockwell et al. (2012) for sampled CARMA processes to a much wider class of CMA processes.

Original languageEnglish
Pages (from-to)385-404
Number of pages20
JournalJournal of Time Series Analysis
Volume34
Issue number3
DOIs
StatePublished - May 2013

Keywords

  • CARMA process
  • Continuous-time moving average process
  • FICARMA process
  • High-frequency data
  • Kernel estimation
  • Regular variation
  • Spectral theory
  • Turbulence
  • Wold representation

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