Article ID Journal Published Year Pages File Type
7547115 Journal of Statistical Planning and Inference 2018 12 Pages PDF
Abstract
Given any stationary time series {Xn:n∈Z} satisfying an ARMA(p,q) model for arbitrary p and q with infinitely divisible innovations, we construct a continuous time stationary process {xt:t∈R} such that the distribution of {xn:n∈Z}, the process sampled at discrete time, coincides with the distribution of {Xn}. In particular the autocovariance function of {xt} interpolates that of {Xn}.
Related Topics
Physical Sciences and Engineering Mathematics Applied Mathematics
Authors
, , ,