Multivariate fractionally integrated CARMA processes (Q2474239): Difference between revisions

A multivariate analogue of the fractionally integrated continuous time autoregressive moving average (FICARMA) process defined by \textit{P. J. Brockwell} [Representations of continuous-time ARMA processes, J. Appl. Probab. 41A, 375--382 (2004; Zbl 1052.60024)] is introduced. The author show that the multivariate FICARMA process has two kernel representations: as an integral over the fractionally integrated CARMA kernel with respect to a Lévy process and as an integral over the original (not fractionally integrated) CARMA kernel with respect to the corresponding fractional Lévy process (FLP). In order to obtain the latter representation, FLPs are extended to the multivariate setting. In particular, a spectral representation of FLPs is given, and a spectral representation for FICARMA processes is derived. Moreover, various probabilistic properties of the multivariate FICARMA process are discussed. As an example multivariate fractionally integrated Ornstein--Uhlenbeck processes are considered.