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CARMA Models

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Part of the Use R! book series (USE R)

Abstract

This chapter introduces the Continuous ARMA models, i.e. CARMA(p,q), as a generalization of the ARMA time series when the time is continuous and the innovation follow a wide range of Lévy processes. Simulation and inference for this model is considered along with the fitting of real data to this model. Full R code for completing the above analyses with yuima package is provided.

Copyright information

© Springer International Publishing AG, part of Springer Nature 2018

Authors and Affiliations

  1. 1.Department of Economics, Management and Quantitative MethodsUniversity of MilanMilanItaly
  2. 2.Graduate School of Mathematical SciencesUniversity of TokyoTokyoJapan

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