Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes (Q408083): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes	scientific article

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instance of

scholarly article

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title

Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes (English)

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29 March 2012

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full work available at URL

https://arxiv.org/abs/1203.0131

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review text

The authors consider the class of multivariate Lévy-driven autoregressive moving average (MCARMA) processes. First they show that the MCARMA and the multivariate continuous-time state space models are equivalent. Second, the authors consider the mixing properties of the sampled processes and demonstrate their application in some practical situations.

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zbMATH Keywords

complete regularity

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linear innovations

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multivariate CARMA process

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sampling

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state space representation

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strong mixing

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vector ARMA process

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reviewed by

Miroslav M. Ristić

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MaRDI profile type

MaRDI publication profile

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cites work

Mixing properties of harris chains and autoregressive processes

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Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations

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Q4671207

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Q5293978

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Q2734966

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Lévy-driven CARMA processes

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Time series: theory and methods.

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Existence and uniqueness of stationary Lévy-driven CARMA processes

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Q4040130

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Q5583193

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The Elementary Gaussian Processes

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Q4775958

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Q4039983

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A functional central limit theorem for weakly dependent sequences of random variables

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Wahrscheinlichkeitstheorie

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Q4531961

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Q5312885

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Multivariate CARMA processes

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Mixing properties of ARMA processes

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Some mixing properties of time series models

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Densities for Ornstein-Uhlenbeck processes with jumps

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Q4937701

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Additive processes and stochastic integrals

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Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type

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Identifiers

zbMATH Open document ID

1248.60039

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DOI

10.3150/10-BEJ329

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:408083

@@ Property / review text @@
+The authors consider the class of multivariate Lévy-driven autoregressive moving average (MCARMA) processes. First they show that the MCARMA and the multivariate continuous-time state space models are equivalent. Second, the authors consider the mixing properties of the sampled processes and demonstrate their application in some practical situations.
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 60G10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6019032
@@ Property / zbMATH DE Number: 6019032 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+complete regularity
@@ Property / zbMATH Keywords: complete regularity / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+linear innovations
@@ Property / zbMATH Keywords: linear innovations / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+multivariate CARMA process
@@ Property / zbMATH Keywords: multivariate CARMA process / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+sampling
@@ Property / zbMATH Keywords: sampling / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+state space representation
@@ Property / zbMATH Keywords: state space representation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+strong mixing
@@ Property / zbMATH Keywords: strong mixing / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+vector ARMA process
@@ Property / zbMATH Keywords: vector ARMA process / rank @@
+Normal rank
@@ Property / reviewed by @@
+Miroslav M. Ristić
@@ Property / reviewed by: Miroslav M. Ristić / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.0131
@@ Property / arXiv ID: 1203.0131 / rank @@
+Normal rank
@@ Property / cites work @@
+Mixing properties of harris chains and autoregressive processes
+Normal rank
@@ Property / cites work @@
+Some classes of multivariate infinitely divisible distributions admitting stochastic integral representations
+Normal rank
@@ Property / cites work @@
+Q4671207
@@ Property / cites work: Q4671207 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5293978
@@ Property / cites work: Q5293978 / rank @@
+Normal rank
@@ Property / cites work @@
+Q2734966
@@ Property / cites work: Q2734966 / rank @@
+Normal rank
@@ Property / cites work @@
+Lévy-driven CARMA processes
@@ Property / cites work: Lévy-driven CARMA processes / rank @@
+Normal rank
@@ Property / cites work @@
+Time series: theory and methods.
@@ Property / cites work: Time series: theory and methods. / rank @@
+Normal rank
@@ Property / cites work @@
+Existence and uniqueness of stationary Lévy-driven CARMA processes
+Normal rank
@@ Property / cites work @@
+Q4040130
@@ Property / cites work: Q4040130 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5583193
@@ Property / cites work: Q5583193 / rank @@
+Normal rank
@@ Property / cites work @@
+The Elementary Gaussian Processes
@@ Property / cites work: The Elementary Gaussian Processes / rank @@
+Normal rank
@@ Property / cites work @@
+Q4775958
@@ Property / cites work: Q4775958 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4039983
@@ Property / cites work: Q4039983 / rank @@
+Normal rank
@@ Property / cites work @@
+A functional central limit theorem for weakly dependent sequences of random variables
+Normal rank
@@ Property / cites work @@
+Wahrscheinlichkeitstheorie
@@ Property / cites work: Wahrscheinlichkeitstheorie / rank @@
+Normal rank
@@ Property / cites work @@
+Q4531961
@@ Property / cites work: Q4531961 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5312885
@@ Property / cites work: Q5312885 / rank @@
+Normal rank
@@ Property / cites work @@
+Multivariate CARMA processes
@@ Property / cites work: Multivariate CARMA processes / rank @@
+Normal rank
@@ Property / cites work @@
+Mixing properties of ARMA processes
@@ Property / cites work: Mixing properties of ARMA processes / rank @@
+Normal rank
@@ Property / cites work @@
+Some mixing properties of time series models
@@ Property / cites work: Some mixing properties of time series models / rank @@
+Normal rank
@@ Property / cites work @@
+Densities for Ornstein-Uhlenbeck processes with jumps
+Normal rank
@@ Property / cites work @@
+Q4937701
@@ Property / cites work: Q4937701 / rank @@
+Normal rank
@@ Property / cites work @@
+Additive processes and stochastic integrals
@@ Property / cites work: Additive processes and stochastic integrals / rank @@
+Normal rank
@@ Property / cites work @@
+Operator-selfdecomposable distributions as limit distributions of processes of Ornstein-Uhlenbeck type
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:408083