Aspects of non-causal and non-invertible CARMA processes

DOI10.1111/JTSA.12589MaRDI QIDQ5012867zbMATH OpenOpenAlexFDO

Authors Alexander 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

CARMA processcausalityinvertibilityLévy process

Mathematics Subject Classification ID

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

Recommendations

• CARMA processes as solutions of integral equations
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Sampling, embedding and inference for CARMA processes
• scientific article; zbMATH DE number 6703664
• Lévy-driven causal CARMA random fields

Cites work

• Continuous Auto-Regressive Moving Average Random Fields on Rn
• Estimation of stable CARMA models with an application to electricity spot prices
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Gaussian and non-Gaussian linear time series and random fields
• scientific article; zbMATH DE number 3755718 (Why is no real title available?)
• scientific article; zbMATH DE number 854948 (Why is no real title available?)
• scientific article; zbMATH DE number 2199141 (Why is no real title available?)
• Implementation of Lévy CARMA model in \texttt{yuima} package
• Least absolute deviation estimation for all-pass time series models
• Maximum likelihood estimation for all-pass time series models
• Prediction of Lévy-driven CARMA processes
• Semi-parametric estimation for non-Gaussian non-minimum phase ARMA models
• Simulation and Inference for Stochastic Processes with YUIMA
• Stable continuous-time autoregressive process driven by stable subordinator
• Time series: theory and methods.
• Well-balanced Lévy driven Ornstein–Uhlenbeck processes

Cited in

(8)

• On nonnegative solutions of SDDEs with an application to CARMA processes
• Lévy driven CARMA generalized processes and stochastic partial differential equations
• Lévy-driven causal CARMA random fields
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Recent results in the theory and applications of CARMA processes
• A Note on Non‐Negative Arma Processes
• Multivariate continuous-time autoregressive moving-average processes on cones
• Prediction of Lévy-driven CARMA processes

This page was built for publication: Aspects of non-causal and non-invertible CARMA processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5012867)