Prediction of Lévy-driven CARMA processes

Peter J. Brockwell and Alexander Lindner

Journal of Econometrics, 2015, vol. 189, issue 2, 263-271

Abstract: The conditional expectations, E(Y(h)|Y(u),−∞0 and 0Keywords: Prediction; Lévy process; CARMA process; Continuous time (search for similar items in EconPapers)
JEL-codes: C02 G17 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:189:y:2015:i:2:p:263-271

DOI: 10.1016/j.jeconom.2015.03.021

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