Prediction of Lévy-driven CARMA processes

Journal of Econometrics

Volumn 189, Issue 2, 2015, Pages 263-271

  Brockwell, Peter J ^a   Lindner, Alexander ^b  

^a Veterinary Dentistry and Oral Surgery   (United States)

^b UNIVERSITY OF ULM   (Germany)

Author keywords

CARMA process; Continuous time; L vy process; Prediction

Indexed keywords

FORECASTING; MEAN SQUARE ERROR;

ARMA PROCESS; CARMA PROCESS; CONDITIONAL EXPECTATION; CONTINUOUS-TIME; LINEAR PREDICTORS; MINIMUM MEAN SQUARED ERROR; SAMPLE PATH; SIMPLE ALGORITHM;

CONTINUOUS TIME SYSTEMS;

EID: 84945447059     PISSN: 03044076     EISSN: 18726895     Source Type: Journal    
DOI: 10.1016/j.jeconom.2015.03.021     Document Type: Article

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