Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
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Publication:408083
DOI10.3150/10-BEJ329zbMATH Open1248.60039arXiv1203.0131OpenAlexW3101983062MaRDI QIDQ408083FDOQ408083
Eckhard Schlemm, Robert Stelzer
Publication date: 29 March 2012
Published in: Bernoulli (Search for Journal in Brave)
Abstract: The class of multivariate L'{e}vy-driven autoregressive moving average (MCARMA) processes, the continuous-time analogs of the classical vector ARMA processes, is shown to be equivalent to the class of continuous-time state space models. The linear innovations of the weak ARMA process arising from sampling an MCARMA process at an equidistant grid are proved to be exponentially completely regular (-mixing) under a mild continuity assumption on the driving L'{e}vy process. It is verified that this continuity assumption is satisfied in most practically relevant situations, including the case where the driving L'{e}vy process has a non-singular Gaussian component, is compound Poisson with an absolutely continuous jump size distribution or has an infinite L'{e}vy measure admitting a density around zero.
Full work available at URL: https://arxiv.org/abs/1203.0131
Recommendations
samplingstrong mixingcomplete regularitylinear innovationsmultivariate CARMA processstate space representationvector ARMA process
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Cited In (14)
- Cointegrated continuous-time linear state-space and MCARMA models
- Empirical spectral processes for stationary state space models
- Whittle estimation for continuous-time stationary state space models with finite second moments
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