Multivariate continuous-time autoregressive moving-average processes on cones

DOI10.1016/J.SPA.2023.05.003MaRDI QIDQ6115253zbMATH OpenOpenAlexFDO

Authors Fred Espen Benth, Sven Karbach

Publication date 12 July 2023

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2206.08782

zbMATH Keywords

multivariate CARMA processesmultivariate stochastic volatilitypositive MCARMApositive semi-definite processes

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) General second-order stochastic processes (60G12) Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: In this article we study multivariate continuous-time autoregressive moving-average (MCARMA) processes with values in convex cones. More specifically, we introduce matrix-valued MCARMA processes with L'evy noise and present necessary and sufficient conditions for processes from this class to be cone valued. We derive specific hands-on conditions in the following two cases: First, for classical MCARMA on $mathbb{R}_d$ with values in the positive orthant $mathbb{R}_d^{+}$. Second, for MCARMA processes on real square matrices taking values in the cone of symmetric and positive semi-definite matrices. Both cases are relevant for applications and we give several examples of positivity ensuring parameter specifications. In addition to the above, we discuss the capability of positive semi-definite MCARMA processes to model the spot covariance process in multivariate stochastic volatility models. We justify the relevance of MCARMA based stochastic volatility models by an exemplary analysis of the second order structure of positive semi-definite well-balanced Ornstein-Uhlenbeck based models.

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