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