Articles with public access mandates - P.J.BrockwellLearn more
Not available anywhere: 1
Estimation for non-negative Lévy-driven CARMA processes
PJ Brockwell, RA Davis, Y Yang
Journal of Business & Economic Statistics 29 (2), 250-259, 2011
Mandates: German Research Foundation
Available somewhere: 7
Continuous-time GARCH processes
P Brockwell, E Chadraa, A Lindner
Mandates: German Research Foundation
Estimation for nonnegative Lévy-driven Ornstein-Uhlenbeck processes
PJ Brockwell, RA Davis, Y Yang
Journal of Applied Probability 44 (4), 977-989, 2007
Mandates: German Research Foundation
Continuous-time Gaussian autoregression
PJ Brockwell, RA Davis, Y Yang
Statistica Sinica 17 (1), 63-80, 2007
Mandates: German Research Foundation
Lévy–driven continuous–time ARMA processes
PJ Brockwell
Handbook of financial time series, 457-480, 2009
Mandates: German Research Foundation
Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
PJ Brockwell, E Schlemm
Journal of Multivariate Analysis 115, 217-251, 2013
Mandates: German Research Foundation
Integration of CARMA processes and spot volatility modelling
P Brockwell, A Lindner
Journal of Time Series Analysis 34 (2), 156-167, 2013
Mandates: German Research Foundation
Bootstrapping continuous-time autoregressive processes
PJ Brockwell, JP Kreiss, T Niebuhr
Annals of the Institute of Statistical Mathematics 66 (1), 75-92, 2014
Mandates: German Research Foundation
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