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

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.