Multivariate CARMA processes (Q873609)
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scientific article; zbMATH DE number 5138704
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| English | Multivariate CARMA processes |
scientific article; zbMATH DE number 5138704 |
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Multivariate CARMA processes (English)
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29 March 2007
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The authors introduce multivariate Lévy-driven continuous time autoregressive moving average (MCARMA) processes and study their probabilistic properties. A random orthogonal measure is constructed and applied to study a spectral representation of the driving Lévy process and a stochastic differential equation. It is used to define MCARMA processes. The authors characterize the stationary distributions, path behavior, give conditions for the existence of moments, the existence of a \(C_b^{\infty}\) density, conditions for strong mixing, etc.
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CARMA process
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Lévy process
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multivariate stochastic differential equations
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spectral representation
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0.8773698210716248
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0.8605464100837708
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0.8598132133483887
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0.8568475246429443
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