Some Computational Aspects of Gaussian CARMA Modelling

Helgi Tómasson
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Helgi Tómasson: Faculty of Economics, University of Iceland, Reykjavik, Iceland

No 274, Economics Series from Institute for Advanced Studies

Abstract: Representation of continuous-time ARMA, CARMA, models is reviewed. Computational aspects of simulating and calculating the likelihood-function of CARMA are summarized. Some numerical properties are illustrated by simulations. Some real data applications are shown.

Keywords: CARMA; maximum-likelihood; spectrum; Kalman filter; computation (search for similar items in EconPapers)
JEL-codes: C01 C10 C22 C53 C63 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2011-09
New Economics Papers: this item is included in nep-cmp, nep-ecm and nep-ets
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https://irihs.ihs.ac.at/id/eprint/2090 First version, 2011 (application/pdf)

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Persistent link: https://EconPapers.repec.org/RePEc:ihs:ihsesp:274

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