Estimation for Lévy-driven CARMA processes
| dc.contributor.author | Yang, Yu, author | |
| dc.contributor.author | Brockwell, Peter J., advisor | |
| dc.contributor.author | Davis, Richard A., advisor | |
| dc.date.accessioned | 2024-03-13T20:28:05Z | |
| dc.date.available | 2024-03-13T20:28:05Z | |
| dc.date.issued | 2008 | |
| dc.description.abstract | This thesis explores parameter estimation for Lévy-driven continuous-time autoregressive moving average (CARMA) processes, using uniformly and closely spaced discrete-time observations. Specifically, we focus on developing estimation techniques and asymptotic properties of the estimators for three particular families of Lévy-driven CARMA processes. Estimation for the first family, Gaussian autoregressive processes, was developed by deriving exact conditional maximum likelihood estimators of the parameters under the assumption that the process is observed continuously. The resulting estimates are expressed in terms of stochastic integrals which are then approximated using the available closely-spaced discrete-time observations. We apply the results to both linear and non-linear autoregressive processes. For the second family, non-negative Lévy-driven Ornestein-Uhlenbeck processes, we take advantage of the non-negativity of the increments of the driving Lévy process to derive a highly efficient estimation procedure for the autoregressive coefficient when observations are available at uniformly spaced times. Asymptotic properties of the estimator are also studied and a procedure for obtaining estimates of the increments of the driving Lévy process is developed. These estimated increments are important for identifying the nature of the driving Lévy process and for estimating its parameters. For the third family, non-negative Lévy-driven CARMA processes, we estimate the coefficients by maximizing the Gaussian likelihood of the observations and discuss the asymptotic properties of the estimators. We again show how to estimate the increments of the background driving Lévy process and hence to estimate the parameters of the Lévy process itself. We assess the performance of our estimation procedures by simulations and use them to fit models to real data sets in order to determine how the theory applies in practice. | |
| dc.format.medium | born digital | |
| dc.format.medium | doctoral dissertations | |
| dc.identifier | ETDF_Yang_2008_3332775.pdf | |
| dc.identifier.uri | https://hdl.handle.net/10217/238031 | |
| dc.language | English | |
| dc.language.iso | eng | |
| dc.publisher | Colorado State University. Libraries | |
| dc.relation.ispartof | 2000-2019 | |
| dc.rights | Copyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright. | |
| dc.rights.license | Per the terms of a contractual agreement, all use of this item is limited to the non-commercial use of Colorado State University and its authorized users. | |
| dc.subject | continuous-time ARMA | |
| dc.subject | continuous-time autoregression | |
| dc.subject | Lévy process | |
| dc.subject | sampled process | |
| dc.subject | stochastic differential equation | |
| dc.subject | stochastic volatility | |
| dc.subject | statistics | |
| dc.title | Estimation for Lévy-driven CARMA processes | |
| dc.type | Text | |
| dcterms.rights.dpla | This Item is protected by copyright and/or related rights (https://rightsstatements.org/vocab/InC/1.0/). You are free to use this Item in any way that is permitted by the copyright and related rights legislation that applies to your use. For other uses you need to obtain permission from the rights-holder(s). | |
| thesis.degree.discipline | Statistics | |
| thesis.degree.grantor | Colorado State University | |
| thesis.degree.level | Doctoral | |
| thesis.degree.name | Doctor of Philosophy (Ph.D.) |
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