A NOTE ON THE COVARIANCE STRUCTURE OF A CONTINUOUS-TIME ARMA PROCESS

@inproceedings{Tsai2000ANO,
  title={A NOTE ON THE COVARIANCE STRUCTURE OF A CONTINUOUS-TIME ARMA PROCESS},
  author={Henghsiu Tsai and Kevin Sean Chan},
  year={2000}
}
We have derived some matrix equations for speedy computation of the conditional covariance kernel of a discrete-time process obtained from irregularly sampling an underlying continuous-time ARMA process. These results are applicable to both stationary and non-stationary ARMA processes. We have also demonstrated that these matrix results can be useful in shedding new insights on the covariance structure of a continuous-time ARMA process. 

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