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A NOTE ON THE COVARIANCE STRUCTURE OF A CONTINUOUS-TIME ARMA PROCESS

Henghsiu Tsai and K. S. Chan
Statistica Sinica
Vol. 10, No. 3 (July 2000), pp. 989-998
Stable URL: http://www.jstor.org/stable/24306759
Page Count: 10
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Since scans are not currently available to screen readers, please contact JSTOR User Support for access. We'll provide a PDF copy for your screen reader.
A NOTE ON THE COVARIANCE STRUCTURE OF A CONTINUOUS-TIME ARMA PROCESS
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Abstract

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.

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