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A NOTE ON THE COVARIANCE STRUCTURE OF A CONTINUOUS-TIME ARMA PROCESS
Henghsiu Tsai and K. S. Chan
Vol. 10, No. 3 (July 2000), pp. 989-998
Published by: Institute of Statistical Science, Academia Sinica
Stable URL: http://www.jstor.org/stable/24306759
Page Count: 10
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We have derived some matrix equations for speedy computation of the conditional covariance kernel of a discrete-time process obtained from irregularly sampling an underlying continuous-time ARMA process. These results are applicable to both stationary and non-stationary ARMA processes. We have also demonstrated that these matrix results can be useful in shedding new insights on the covariance structure of a continuous-time ARMA process.
Statistica Sinica © 2000 Institute of Statistical Science, Academia Sinica