Lévy-driven causal CARMA random fields

DOI10.1016/J.SPA.2020.08.006zbMATH Open1454.60067arXiv1805.08807OpenAlexW3080828317MaRDI QIDQ2229696FDOQ2229696

Authors: Viet Son Pham 

Publication date: 18 February 2021

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

Abstract: We introduce L'evy-driven causal CARMA random fields on $mathbb{R}^d$, extending the class of CARMA processes. The definition is based on a system of stochastic partial differential equations which generalize the classical state-space representation of CARMA processes. The resulting CARMA model differs fundamentally from the isotropic CARMA random field of Brockwell and Matsuda. We show existence of the model under mild assumptions and examine some of its features including the second-order structure and path properties. In particular, we investigate the sampling behavior and formulate conditions for the causal CARMA random field to be an ARMA random field when sampled on an equidistant lattice.

Full work available at URL: https://arxiv.org/abs/1805.08807

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zbMATH Keywords

space-time modelingSPDEmild solutionpath propertyCARMA random fieldLévy basis

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Random fields (60G60)

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Cited In (6)

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