Factorization and discrete-time representation of multivariate CARMA processes
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Publication:5093991
zbMath1493.62520arXiv2102.11681MaRDI QIDQ5093991
Markus Scholz, Vicky Fasen-Hartmann
Publication date: 2 August 2022
Full work available at URL: https://arxiv.org/abs/2102.11681
Ornstein-Uhlenbeck processautocovariance functionmatrix polynomialrational matrix functionlatent rootright solventVARMA processMCARMA process
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and fuzziness (62M86)
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