Invertibility of infinitely divisible continuous-time moving average processes

DOI10.1007/978-3-030-57513-7_6MaRDI QIDQ2041478zbMATH OpenOpenAlexFDO

Authors Orimar Sauri

Publication date 22 July 2021

Full work available at URL https://arxiv.org/abs/1505.00196

zbMATH Keywords

causalityinfinitely divisible processesinvertibility of stationary processesLévy semistationary processesmoving average processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

Abstract: This paper studies the invertibility property of continuous time moving average processes driven by a L'evy process. We provide of sufficient conditions for the recovery of the driving noise. Our assumptions are specified via the kernel involved and the characteristic triplet of the background driving L'evy process.

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Cited in

(5)

• ON THE INVERTIBILITY OF PERIODIC MOVING-AVERAGE MODELS
• THE RECURSIVE PROPERTY OF THE INVERSE OF THE COVARIANCE MATRIX OF A MOVING‐AVERAGE PROCESS OF GENERAL ORDER
• Selfdecomposable fields
• scientific article; zbMATH DE number 6027064 (Why is no real title available?)
• On the inversion of an autoregressive process of finite order

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