Multivariate CARMA processes

DOI10.1016/j.spa.2006.05.014zbMath1115.62087OpenAlexW2082031432MaRDI QIDQ873609

Tina Marquardt, Robert Stelzer

Publication date: 29 March 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: http://mediatum.ub.tum.de/doc/1072563/document.pdf

zbMATH Keywords

spectral representationLévy processCARMA processmultivariate stochastic differential equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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