A class of non-embeddable ARMA processes

Journal of Time Series Analysis

Volumn 20, Issue 5, 1999, Pages 483-486

  Brockwell, Anthony E ^a   Brockwell, Peter J ^a  

^a NONE

Author keywords

Autocovariance function; Continuous time ARMA process; Embedding; Spectral density; Unit roots

Indexed keywords

EID: 0040960365     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9892.00151     Document Type: Article

References (6)

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3. HE, S. W. and WANG, J. G. (1989) On embedding a discrete-parameter ARMA model in a continuous-parameter ARMA model. J. Time Ser. Anal. 10, 315-23.
4. JONES, R. H. (1981) Fitting a continuous time autoregression to discrete data. In Applied Time Series Analysis II (ed. D. F. Findley). New York: Academic Press, pp. 651-82.
5. _ (1985) Time series analysis with unequally spaced data. In Time Series in the Time Domain, Handbook of Statistics 5 (eds E. J. Hannan, P. R. Krishnaiah and M. M. Rao). Amsterdam: North-Holland, pp. 157-78.
6. _ and ACKERSON, L. M. (1990) Serial correlation in unequally spaced longitudinal data. Biometrika 77, 721-32.