Aspects of non‐causal and non‐invertible CARMA processes

DOI10.1111/jtsa.12589zbMath1475.62235OpenAlexW3154065187MaRDI QIDQ5012867

Alexander M. Lindner, Peter J. Brockwell

Publication date: 25 November 2021

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/jtsa.12589

zbMATH Keywords

causalityinvertibilityLévy processCARMA process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10)

Related Items (1)

Multivariate continuous-time autoregressive moving-average processes on cones

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