Cointegrated continuous-time linear state-space and MCARMA models

DOI10.1080/17442508.2019.1691206zbMATH Open1492.60079arXiv1611.07876OpenAlexW2990300629WikidataQ126805566 ScholiaQ126805566MaRDI QIDQ5086527FDOQ5086527

Authors: Vicky Fasen-Hartmann, Markus Scholz 

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: In this paper we define and characterize cointegrated continuous-time linear state-space models. A main result is that a cointegrated continuous-time linear state-space model can be represented as a sum of a L'evy process and a stationary linear state-space model. Moreover, we prove that the class of cointegrated multivariate L'evy-driven autoregressive moving-average (MCARMA) processes, the continuous-time analogues of the classical vector ARMA processes, is equivalent to the class of cointegrated continuous-time linear state space models. Necessary and sufficient conditions for MCARMA processes to be cointegrated are given as well extending the results of Comte for MCAR processes. The conditions depend on the autoregressive polynomial. Finally, we investigate cointegrated continuous-time linear state-space models observed on a discrete time-grid and derive an error correction form for this model. The error correction form is based on an infinite linear filter in contrast to the finite linear filter for VAR models.

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

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zbMATH Keywords

Kalman filteridentificationstate-space modelcointegrationcanonical formerror correction formGranger representation theoremcointegrated multivariate Lévy-driven autoregressive moving-average processes

Mathematics Subject Classification ID

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

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Cited In (7)

• Factorization and discrete-time representation of multi-variate CARMA processes
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• Cointegration analysis with state space models
• Cointegrated Linear Processes in Hilbert Space
• Cointegration in singular ARMA models
• On non-stationary solutions to MSDDEs: representations and the cointegration space

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