Multivariate CARMA processes

DOI10.1016/J.SPA.2006.05.014zbMATH Open1115.62087OpenAlexW2082031432MaRDI QIDQ873609FDOQ873609

Authors: 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

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zbMATH Keywords

spectral representationCARMA processmultivariate stochastic differential equationsLévy process

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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Cited In (49)

• Mixed orthogonality graphs for continuous-time stationary processes
• Cointegrated continuous-time linear state-space and MCARMA models
• Integration of CARMA processes and spot volatility modelling
• Weak dependence and GMM estimation of supOU and mixed moving average processes
• Empirical spectral processes for stationary state space models
• Whittle estimation for continuous-time stationary state space models with finite second moments
• On operator fractional Lévy motion: integral representations and time-reversibility
• Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
• Statistical inference of spectral estimation for continuous-time MA processes with finite second moments
• Continuous-time locally stationary time series models
• Stable continuous-time autoregressive process driven by stable subordinator
• Geometric ergodicity of the multivariate COGARCH(1,1) process
• Asymptotic moving average representation of high-frequency sampled multivariate CARMA processes
• Time series regression on integrated continuous-time processes with heavy and light tails
• Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
• Growth and fluctuation in perturbed nonlinear Volterra equations
• Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
• Noise recovery for Lévy-driven CARMA processes and high-frequency behaviour of approximating Riemann sums
• Model verification for Lévy-driven Ornstein-Uhlenbeck processes
• Limit Theory for High Frequency Sampled MCARMA Models
• Cointegration in continuous time for factor models
• On non-negative modeling with CARMA processes
• Limit theorems for quadratic forms and related quantities of discretely sampled continuous-time moving averages
• Modal identification of system driven by Lévy random excitation based on continuous time AR model
• Dependence estimation for high-frequency sampled multivariate CARMA models
• On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
• Stochastic delay differential equations and related autoregressive models
• Title not available (Why is that?)
• Multivariate fractionally integrated CARMA processes
• Recent results in the theory and applications of CARMA processes
• CARMA\((p,q)\) generalized random processes
• Weak Stationarity of Ornstein-Uhlenbeck Processes with Stochastic Speed of Mean Reversion
• Estimation of stable CARMA models with an application to electricity spot prices
• Factorization and discrete-time representation of multivariate CARMA processes
• MARM processes. I: General theory
• Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
• High-frequency estimation of the Lévy-driven graph Ornstein-Uhlenbeck process
• Robust estimation of stationary continuous‐time arma models via indirect inference
• Multivariate supOU processes
• On nonnegative solutions of SDDEs with an application to CARMA processes
• Multivariate continuous-time autoregressive moving-average processes on cones
• Multivariate stochastic delay differential equations and CAR representations of CARMA processes
• On non-stationary solutions to MSDDEs: representations and the cointegration space
• Spectral representation of multivariate regularly varying Lévy and CARMA processes
• Stationary infinitely divisible processes
• Nonparametric regression for locally stationary random fields under stochastic sampling design
• High-frequency sampling of a continuous-time ARMA process
• MULTIVARIATE ECOGARCH PROCESSES
• Tail behavior of multivariate Lévy-driven mixed moving average processes and supOU stochastic volatility models

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