Spectral representation of multivariate regularly varying Lévy and CARMA processes

DOI10.1007/S10959-011-0369-0zbMATH Open1277.60082arXiv1105.2706OpenAlexW2038696470MaRDI QIDQ354751FDOQ354751

Florian Fuchs, Robert Stelzer

Publication date: 19 July 2013

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

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.

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

Recommendations

• Multivariate CARMA processes
• Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
• Multivariate fractionally integrated CARMA processes
• Recent results in the theory and applications of CARMA processes
• Lévy-driven CARMA processes

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)

Cites Work

• An Introduction to the Theory of Point Processes
• Title not available (Why is that?)
• Time series: theory and methods
• Spectral representations of infinitely divisible processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Heavy-Tail Phenomena
• Title not available (Why is that?)
• Lévy Processes and Stochastic Calculus
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Function theory 1
• Lévy-driven CARMA processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Complex Analysis
• On regular variation for infinitely divisible random vectors and additive processes
• Linear stochastic systems with constant coefficients. A statistical approach
• Extremes of moving averages of stable processes
• The spectral representation of stable processes: Harmonizability and regularity
• Stable processes: Moving averages versus Fourier transforms
• An overview of important practical aspects of continuous-time ARMA system identification
• Tail behavior of multivariate lévy-driven mixed moving average processes and supOU Stochastic Volatility Models
• Prediction of stable processes: Spectral and moving average representations
• Title not available (Why is that?)
• Harmonizable stable processes
• On a construction of Markov processes associated with time dependent Dirichlet spaces
• Representations of continuous-time ARMA processes
• Title not available (Why is that?)
• Estimation of stable CARMA models with an application to electricity spot prices
• Séries de Fourier aléatoirement bornées, continues, uniformément convergentes
• Multivariate CARMA processes

Cited In (1)

• Functional regular variation of Lévy-driven multivariate mixed moving average processes

This page was built for publication: Spectral representation of multivariate regularly varying Lévy and CARMA processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q354751)