Continuous-time autoregressive moving-average processes in Hilbert space

DOI10.1007/978-3-030-01593-0_11MaRDI QIDQ1733954zbMATH OpenOpenAlexFDO

Authors Fred Espen Benth, André Süss

Publication date 22 March 2019

Full work available at URL https://arxiv.org/abs/1701.04618

zbMATH Keywords

Hilbert spaceautoregressive moving-average process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of functional analysis in probability theory and statistics (46N30) Functional data analysis (62R10) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Abstract: We introduce the class of continuous-time autoregressive moving-average (CARMA) processes in Hilbert spaces. As driving noises of these processes we consider Levy processes in Hilbert space. We provide the basic definitions, show relevant properties of these processes and establish the equivalents of CARMA processes on the real line. Finally, CARMA processes in Hilbert space are linked to the stochastic wave equation and functional autoregressive processes.

Recommendations

• Multivariate CARMA processes
• Multivariate stochastic delay differential equations and CAR representations of CARMA processes
• scientific article; zbMATH DE number 6703664
• Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
• Recent results in the theory and applications of CARMA processes

Cited in

(10)

• Spatial autoregressive and moving average Hilbertian processes
• On non-negative modeling with CARMA processes
• scientific article; zbMATH DE number 2190882 (Why is no real title available?)
• Multivariate fractionally integrated CARMA processes
• Tensorial products of functional ARMA processes
• Cointegrated Linear Processes in Hilbert Space
• scientific article; zbMATH DE number 6703664 (Why is no real title available?)
• Multivariate stochastic delay differential equations and CAR representations of CARMA processes
• Multivariate continuous-time autoregressive moving-average processes on cones
• Moving averages in Hilbert spaces

This page was built for publication: Continuous-time autoregressive moving-average processes in Hilbert space

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1733954)