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Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
Parametric estimation the driving Lévy process of multivariate CARMA processes discrete observations
2012/11/23
We consider the parametric estimation of the driving L\'evy process of a multivariate continuous-time autoregressive moving average (MCARMA) process, which is observed on the discrete time grid $(0,h,...
