Multivariate CARMA processes |
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Authors: | Tina Marquardt Robert Stelzer |
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Institution: | Centre of Mathematical Sciences, Munich University of Technology, Boltzmannstr. 3, D-85747 Garching, Germany |
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Abstract: | A multivariate Lévy-driven continuous time autoregressive moving average (CARMA) model of order (p,q), q<p, is introduced. It extends the well-known univariate CARMA and multivariate discrete time ARMA models. We give an explicit construction using a state space representation and a spectral representation of the driving Lévy process. Furthermore, various probabilistic properties of the state space model and the multivariate CARMA process itself are discussed in detail. |
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Keywords: | primary 60G10 60G12 secondary 60H05 60H20 |
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