Embedding in law of discrete time ARMA processes in continuous time stationary processes

作者：Arratia Argimiro; Cabana Alejandra^*; Cabana Enrique M

来源：Journal of Statistical Planning and Inference, 2018, 197: 156-167.

DOI：10.1016/j.jspi.2018.01.004

• Discrete-time ARMA
• Continuous-time ARMA
• CARMA
• Levy process
• Embedding

Given any stationary time series {X-n : n is an element of Z} satisfying an ARMA(p, q) model for arbitrary p and q with infinitely divisible innovations, we construct a continuous time stationary process {chi(t) : t is an element of R} such that the distribution of {chi(n) : n is an element of Z}, the process sampled at discrete time, coincides with the distribution of {X-n}. In particular the autocovariance function of {chi(t)} interpolates that of {X-n }.

• 出版日期2018-12