Multivariate CARMA processes

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:117

Article

Marquardt, Tina ; Stelzer, Robert

关键词: CARMA process;    Levy process;    multivariate stochastic differential equation;    spectral representation;   

DOI  :  10.1016/j.spa.2006.05.014

来源: Elsevier

【 摘 要 】

A multivariate Levy-driven continuous time autoregressive moving average (CARMA) model of order (p, q), q < p, is introduced. It extends the well-known univariate CARMA and multivariate discrete time ARMA models. We give an explicit construction using a state space representation and a spectral representation of the driving Levy process. Furthermore, various probabilistic properties of the state space model and the multivariate CARMA process itself are discussed in detail. (C) 2006 Elsevier B.V. All rights reserved.

【 授权许可】

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