Multivariate CARMA processes
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- Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
- Spectral representation of multivariate regularly varying Lévy and CARMA processes
- Lévy-driven CARMA processes
- Multivariate fractionally integrated CARMA processes
- Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
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Cited in
(60)- Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models
- Cointegrated continuous-time linear state-space and MCARMA models
- Integration of CARMA processes and spot volatility modelling
- Limit theory for high frequency sampled MCARMA models
- Weak dependence and GMM estimation of supOU and mixed moving average processes
- Empirical spectral processes for stationary state space models
- Whittle estimation for continuous-time stationary state space models with finite second moments
- Mixed orthogonality graphs for continuous-time state space models and orthogonal projections
- Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
- Continuous-time autoregressive moving-average processes in Hilbert space
- On operator fractional Lévy motion: integral representations and time-reversibility
- Factorization and discrete-time representation of multi-variate CARMA processes
- Statistical inference of spectral estimation for continuous-time MA processes with finite second moments
- Robust estimation of stationary continuous-time ARMA models via indirect inference
- Stable continuous-time autoregressive process driven by stable subordinator
- Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes
- Continuous-time locally stationary time series models
- Geometric ergodicity of the multivariate COGARCH(1,1) process
- Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
- Time series regression on integrated continuous-time processes with heavy and light tails
- Growth and fluctuation in perturbed nonlinear Volterra equations
- Model verification for Lévy-driven Ornstein-Uhlenbeck processes
- Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
- Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
- Cointegration in continuous time for factor models
- On non-negative modeling with CARMA processes
- Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion
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- On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
- Information criteria for multivariate CARMA processes
- Dependence estimation for high-frequency sampled multivariate CARMA models
- Simulating continuous-time autoregressive moving average processes driven by p -tempered α -stable Lévy processes
- Lévy driven CARMA generalized processes and stochastic partial differential equations
- Stochastic delay differential equations and related autoregressive models
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- Multivariate fractionally integrated CARMA processes
- Lévy-driven causal CARMA random fields
- Recent results in the theory and applications of CARMA processes
- On the exponential process associated with a CARMA-type process
- Estimation and inference for multivariate continuous-time autoregressive processes
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- Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
- High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process
- Mixed orthogonality graphs for continuous-time stationary processes
- Multivariate supOU processes
- On nonnegative solutions of SDDEs with an application to CARMA processes
- Finite mixture approximation of CARMA(p,q) models
- Multivariate stochastic delay differential equations and CAR representations of CARMA processes
- On non-stationary solutions to MSDDEs: representations and the cointegration space
- Multivariate continuous-time autoregressive moving-average processes on cones
- Spectral representation of multivariate regularly varying Lévy and CARMA processes
- Stationary infinitely divisible processes
- Nonparametric regression for locally stationary random fields under stochastic sampling design
- High-frequency sampling of a continuous-time ARMA process
- MULTIVARIATE ECOGARCH PROCESSES
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