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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Schlemm, E. and Stelzer, R. 
Titel:
Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes 
Abstract:
The class of multivariate Lévy-driven auto-regressive moving-average (MCARMA) processes, the continuous-time analogues of the classical vector ARMA processes, is shown to be equivalent to the class of continuous-time state space models. The linear innovations of the weak ARMA process arising from sampling an MCARMA process at an equidistant grid are proved to be exponentially completely regular (β-mixing) under a mild continuity assumption on the driving Lévy process. It is verified th...    »
 
Stichworte:
complete regularity, linear innovations, multivariate CARMA process, sampling, state space representation, strong mixing, vector ARMA process. 
Zeitschriftentitel:
Bernoulli 
Jahr:
2012 
Band / Volume:
18 
Heft / Issue:
Seitenangaben Beitrag:
46-63 
Reviewed:
ja 
Sprache:
en 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text