CARMA(p,q) generalized random processes

DOI10.1016/J.JSPI.2010.04.028MaRDI QIDQ993798zbMATH OpenOpenAlexFDO

Authors Peter J. Brockwell, Jan Hannig

Publication date 20 September 2010

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2010.04.028

zbMATH Keywords

stochastic differential equationstate-space representationwhite noiseCARMA processgeneralized random process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Generalized stochastic processes (60G20)

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Cites work

• scientific article; zbMATH DE number 3115395 (Why is no real title available?)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 3220706 (Why is no real title available?)
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Stationary random distributions

Cited in

(8)

• Wavelet analysis of the Besov regularity of Lévy white noise
• CARMA processes as solutions of integral equations
• The domain of definition of the Lévy white noise
• Lévy driven CARMA generalized processes and stochastic partial differential equations
• Gaussian and sparse processes are limits of generalized Poisson processes
• Embedding in law of discrete time ARMA processes in continuous time stationary processes
• Recent results in the theory and applications of CARMA processes
• scientific article; zbMATH DE number 5635206 (Why is no real title available?)

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