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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.

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Volltext §
DOI: 10.5445/IR/1000058197
Zugehörige Institution(en) am KIT Institut für Stochastik (STOCH)
Publikationstyp Hochschulschrift
Jahr 2016
Sprache Englisch
Identifikator urn:nbn:de:swb:90-581977
KITopen-ID: 1000058197
Verlag KIT, 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
KIT – Die Forschungsuniversität in der Helmholtz-Gemeinschaft
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