Spectral representation of multivariate regularly varying Lévy and CARMA processes

DOI10.1007/S10959-011-0369-0MaRDI QIDQ354751zbMATH OpenOpenAlexFDO

Authors Florian Fuchs, Robert Stelzer

Publication date 19 July 2013

Published in Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1105.2706

zbMATH Keywords

random noisespectral representationmultivariate regular variationCARMA processLevy processrandom orthogonal measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Inference from stochastic processes and spectral analysis (62M15) Stationary stochastic processes (60G10) Random measures (60G57)

Abstract: A spectral representation for regularly varying L'evy processes with index between one and two is established and the properties of the resulting random noise are discussed in detail giving also new insight in the $L^2$-case where the noise is a random orthogonal measure. This allows a spectral definition of multivariate regularly varying L'evy-driven continuous time autoregressive moving average (CARMA) processes. It is shown that they extend the well-studied case with finite second moments and coincide with definitions previously used in the infinite variance case when they apply.

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Cited in

(4)

• Multivariate CARMA processes
• Functional regular variation of Lévy-driven multivariate mixed moving average processes
• Random spectral measure for non Gaussian moving averages
• Multivariate fractionally integrated CARMA processes

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