CARMA processes as solutions of integral equations

DOI10.1016/j.spl.2015.08.026zbMath1356.60072OpenAlexW1445655786MaRDI QIDQ900954

Alexander M. Lindner, Peter J. Brockwell

Publication date: 23 December 2015

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2015.08.026

zbMATH Keywords

integral equationdifferential equationCARMA processcontinuous time autoregressive moving average process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (2)

Unnamed Item ⋮ Semi-Lévy-driven CARMA process: estimation and prediction

Cites Work

• Unnamed Item
• Prediction of Lévy-driven CARMA processes
• CARMA\((p,q)\) generalized random processes
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Forecasting continuous-time processes with applications to signal extraction
• Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
• Integration of CARMA processes and spot volatility modelling
• THE CARMA INTEREST RATE MODEL
• Estimation of stable CARMA models with an application to electricity spot prices
• Measure Theory
• Lévy-driven CARMA processes

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