Cointegrated continuous-time linear state-space and MCARMA models

DOI10.1080/17442508.2019.1691206zbMath1492.60079arXiv1611.07876OpenAlexW2990300629WikidataQ126805566 ScholiaQ126805566MaRDI QIDQ5086527

Vicky Fasen-Hartmann, Markus Scholz

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1611.07876

zbMATH Keywords

identificationKalman filtercointegrationstate-space modelcanonical formerror correction formGranger representation theoremcointegrated multivariate Lévy-driven autoregressive moving-average processes

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70) Economic time series analysis (91B84) Limit theorems in probability theory (60F99)

Related Items (2)

Factorization and discrete-time representation of multivariate CARMA processes ⋮ Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies

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