scientific article; zbMATH DE number 6703664
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Publication:2974530
stationaritystochastic differential equationrandom coefficientsautoregressive moving average processmultivariate generalized Ornstein-Uhlenbeck processLévy process
Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Diffusion processes (60J60) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05)
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Cited in
(12)- Cointegrated continuous-time linear state-space and MCARMA models
- Continuous-time autoregressive moving-average processes in Hilbert space
- Levinson-Durbin-type algorithms for continuous-time autoregressive models and applications
- Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
- Existence and uniqueness of stationary Lévy-driven CARMA processes
- Autoregressive sequences via Lévy processes
- On the exponential process associated with a CARMA-type process
- A Levinson-Durbin recursion for autoregressive-moving average processes
- scientific article; zbMATH DE number 2199141 (Why is no real title available?)
- Sample path generation of Lévy-driven continuous-time autoregressive moving average processes
- Aspects of non-causal and non-invertible CARMA processes
- Lévy–Driven Continuous–Time ARMA Processes
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