Continuous-Time Autoregressive Moving Average (CARMA) processes extend the classical discrete-time ARMA framework to continuous time, offering a flexible modelling approach for phenomena where ...

This is a preview. Log in through your library . Abstract Patterson & Thompson (1971) have described a modified maximum likelihood technique for estimating variance components in the additive mixed ...

This is a preview. Log in through your library . Abstract An expression for the likelihood function of a stationary vector autoregressive-moving average process is developed. The expression is very ...

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...

Autoregressive moving average models have a number of advantages including simplicity. Here’s how to use an ARMA model with InfluxDB. An ARMA or autoregressive moving average model is a forecasting ...

Thomas J Catalano is a CFP and Registered Investment Adviser with the state of South Carolina, where he launched his own financial advisory firm in 2018. Thomas' experience gives him expertise in a ...

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author (s) and do not necessarily represent those ...