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Kernel estimation in continuous-time moving average processes

Vincenzo Ferrazzano
(Technische Universität München)
Thiele Seminar
Tuesday, 15 March, 2011, at 14:15-15:00, in Aud. D3 (1531-215)
Abstract:
Continuous-time processes have been very much in the focus of interest recently, mainly because of high-frequency data available in various areas of applications like in finance and turbulence.
We suggest a new method for the estimation of the kernel function of a continuous-time moving average process driven by a finite variance process with uncorrelated and weakly stationary increments.
Aiming at high-frequency data we investigate the behaviour of a continuous-time model, when sampled at a fine grid, when the grid size tends to zero.
As a prominent example, we illustrate the case of CARMA processes in full detail, stressing which features can be extented to the class of processes with regularly varying spectral densities.

Organised by: The T.N. Thiele Centre
Contact person: Steen Thorbjørnsen