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