Multivariate CARMA processes
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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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Cited in
(62)- Stable continuous-time autoregressive process driven by stable subordinator
- Weak dependence and GMM estimation of supOU and mixed moving average processes
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