Peter Brockwell

Colorado State University, Fort Collins

Fort Collins, CO 80523

United States

  • Colorado State University, Fort Collins

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    • Tel: 970-491-3481
    • Fax: 970-491-7895
SCHOLARLY PAPERS

5

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24

SSRN CITATIONS
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3

CROSSREF CITATIONS

31

Scholarly Papers (5)

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1.

Gaussian Maximum Likelihood Estimation for Arma Models I: Time Series

Journal of Time Series Analysis, Vol. 27, No. 6, pp. 857-875, November 2006
Number of pages: 19 Posted: 08 Oct 2006
Qiwei Yao and Peter Brockwell
London School of Economics & Political Science (LSE) - Department of Statistics and Colorado State University, Fort Collins
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2.

High‐Frequency Sampling and Kernel Estimation for Continuous‐Time Moving Average Processes

Journal of Time Series Analysis, Vol. 34, Issue 3, pp. 385-404, 2013
Number of pages: 20 Posted: 26 Apr 2013
Peter Brockwell, Vincenzo Ferrazzano and C. Klüppelberg
Colorado State University, Fort Collins, Technische Universität München (TUM) and Technische Universität München (TUM)
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CARMA process, continuous‐time moving average process, FICARMA process, high‐frequency data, kernel estimation, regular variation, spectral theory, turbulence, Wold representation

3.

Sampling, Embedding and Inference for Carma Processes

Journal of Time Series Analysis, Vol. 40, Issue 2, pp. 163-181, 2019
Number of pages: 19 Posted: 08 Feb 2019
Peter Brockwell and Alexander Lindner
Colorado State University, Fort Collins and University of Ulm
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CARMA process, sampling, embedding, complex‐valued information matrix, quasi‐maximum‐likelihood estimation

4.

Integration of Carma Processes and Spot Volatility Modelling

Journal of Time Series Analysis, Vol. 34, Issue 2, pp. 156-167, 2013
Number of pages: 12 Posted: 22 Feb 2013
Peter Brockwell and Alexander Lindner
Colorado State University, Fort Collins and University of Ulm
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Lévy process, continuous‐time ARMA process, integrated CARMA process, stochastic volatility

5.

High‐Frequency Sampling of a Continuous‐Time ARMA Process

Journal of Time Series Analysis, Vol. 33, Issue 1, pp. 152-160, 2012
Number of pages: 9 Posted: 28 Dec 2011
Peter Brockwell, Vincenzo Ferrazzano and C. Klüppelberg
Colorado State University, Fort Collins, Technische Universität München (TUM) and Technische Universität München (TUM)
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CARMA process, high‐frequency data, discretely sampled process