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Strictly stationary solutions of multivariate ARMA equations with i.i.d. noise
Strictly stationary solutions multivariate ARMA equations i.i.d. noise
2011/6/17
We obtain necessary and sufficient conditions for the existence of strictly stationary
solutions of multivariate ARMA equations with independent and identically
distributed noise. For general ARMA(p...
Limit theorems for moving averages of discretized processes plus noise
Central limit theorem high-frequency observations microstructure noise
2010/10/14
This paper presents some limit theorems for certain functionals of moving averages of semimartingales plus noise which are observed at high frequency. Our method generalizes the pre-averaging approac...