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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Fuchs, F,. and Stelzer, R. 
Titel:
Mixing conditions for multivariate infinitely divisible processes with an application to mixed moving averages and the supOU stochastic volatility model 
Abstract:
We consider strictly stationary infinitely divisible processes and first extend the mixing conditions given in Maruyama [18] and Rosinski and Zak [23] from the univariate to the d-dimensional case. Thereafter, we show that multivariate Lévy-driven mixed moving average processes satisfy these conditions and hence a wide range of well-known processes such as superpositions of Ornstein-Uhlenbeck (supOU) processes or (fractionally integrated) continuous time autoregressive moving average...    »
 
Stichworte:
infinitely divisible process, mixing, mixed moving average process, supOU process, stochastic volatility model, codifference 
Zeitschriftentitel:
ESAIM: Probability and Statistics 
Jahr:
2013 
Band / Volume:
17 
Seitenangaben Beitrag:
455-471 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text