TY - JOUR
T1 - High-frequency sampling of a continuous-time ARMA process
AU - Brockwell, Peter J.
AU - Ferrazzano, Vincenzo
AU - Klüppelberg, Claudia
PY - 2012/1
Y1 - 2012/1
N2 - Continuous-time autoregressive moving average (CARMA) processes have recently been used widely in the modelling of non-uniformly spaced data and as a tool for dealing with high-frequency data of the form ynΔ,n=0,1,2,..., where Δ is small and positive. Such data occur in many fields of application, particularly in finance and in the study of turbulence. This article is concerned with the characteristics of the process (ynΔ)nεZ, when Δ is small and the underlying continuous-time process (yt)tεR is a specified CARMA process.
AB - Continuous-time autoregressive moving average (CARMA) processes have recently been used widely in the modelling of non-uniformly spaced data and as a tool for dealing with high-frequency data of the form ynΔ,n=0,1,2,..., where Δ is small and positive. Such data occur in many fields of application, particularly in finance and in the study of turbulence. This article is concerned with the characteristics of the process (ynΔ)nεZ, when Δ is small and the underlying continuous-time process (yt)tεR is a specified CARMA process.
KW - CARMA process
KW - Discretely sampled process
KW - High-frequency data
UR - http://www.scopus.com/inward/record.url?scp=84855172002&partnerID=8YFLogxK
U2 - 10.1111/j.1467-9892.2011.00748.x
DO - 10.1111/j.1467-9892.2011.00748.x
M3 - Article
AN - SCOPUS:84855172002
SN - 0143-9782
VL - 33
SP - 152
EP - 160
JO - Journal of Time Series Analysis
JF - Journal of Time Series Analysis
IS - 1
ER -