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DOI: 10.5445/IR/1000058197

Statistical Inference for MCARMA Processes

Kimmig, Sebastian Florian Werner

Abstract (englisch):
Multivariate continuous-time ARMA(p,q) (MCARMA(p,q)) processes are the continuous-time analog of the well-known vector ARMA(p,q) processes. This thesis contributes to the field of statistical inference of MCARMA processes in two ways. In the first part, we study information criteria, which provide a method to select a suitably MCARMA process as a model for given data. The second part of the thesis is concerned with robust estimation of the parameters of MCARMA processes.

Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Hochschulschrift
Jahr 2016
Sprache Englisch
Identifikator URN: urn:nbn:de:swb:90-581977
KITopen-ID: 1000058197
Verlag Karlsruhe
Umfang 208 S.
Abschlussart Dissertation
Fakultät Fakultät für Mathematik (MATH)
Institut Institut für Stochastik (STOCH)
Prüfungsdaten 22.06.2016
Referent/Betreuer Prof. V. Fasen-Hartmann
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