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Estimation of Cointegrated Multivariate Continuous-Time Autoregressive Moving Average Processes

by Markus Scholz

Institution:	Universität Karlsruhe
Year:	2016
Keywords:	Cointegration; MCARMA; Estimation; Linear State Space Models
Posted:	02/05/2017
Record ID:	2128324
Full text PDF:	http://digbib.ubka.uni-karlsruhe.de/volltexte/documents/3880441

Abstract

In this thesis we consider cointegrated MCARMA processes. A canonical representation is derived and the probabilistic properties are investigated. A step-wise estimation method of the model parameters from discrete-time observations is derived. Super-consistency for long-run and consistency for short-run parameter estimator are established. The limiting distributions of the estimators are deduced. Lastly, a simulation study to demonstrate the applicability of the estimation method is presented.