A note on the covariance structure of a continuous-time ARMA process

H S Tsai; K S Chan

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A note on the covariance structure of a continuous-time ARMA process

Journal article

Peer reviewed

A note on the covariance structure of a continuous-time ARMA process

H S Tsai and K S Chan

Statistica Sinica, Vol.10(3), pp.989-998

07/01/2000

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Abstract

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.

Mathematics

Physical Sciences

Science & Technology

Statistics & Probability

Details

Title: Subtitle: A note on the covariance structure of a continuous-time ARMA process
Creators: H S Tsai
K S Chan
Resource Type: Journal article
Publication Details: Statistica Sinica, Vol.10(3), pp.989-998
Publisher: STATISTICA SINICA
ISSN: 1017-0405
eISSN: 1996-8507
Number of pages: 10
Language: English
Date published: 07/01/2000
Academic Unit: Statistics and Actuarial Science; Radiology
Record Identifier: 9984257614702771

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