Weak dependence and GMM estimation of supOU and mixed moving average processes
We consider a mixed moving average (MMA) process X driven by a Lévy basis and prove
that it is weakly dependent with rates computable in terms of the moving average kernel and …
that it is weakly dependent with rates computable in terms of the moving average kernel and …
A Bayesian paradigm in a large class of Lévy-driven CARMA models for high frequency data
A Sharifi, AR Taheriyoun… - … in Statistics-Simulation …, 2024 - Taylor & Francis
Continuous-time time series are widely used for modeling the realizations of those
phenomena where it is theoretically possible to have observation at any point of the …
phenomena where it is theoretically possible to have observation at any point of the …