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Document type:
Zeitschriftenaufsatz 
Author(s):
Marquardt, T. 
Title:
Multivariate fractionally integrated CARMA processes 
Abstract:
A multivariate analogue of the fractionally integrated continuous time autoregressive moving average (FICARMA) process defined by Brockwell [Representations of continuous-time ARMA processes, J. Appl. Probab. 41 (A) (2004) 375-382] is introduced. We show that the multivariate FICARMA process has two kernel representations: as an integral over the fractionally integrated CARMA kernel with respect to a Levy process and as an integral over the original (not fractionally integrated) CARMA kernel wit...    »
 
Keywords:
CARMA process, FICARMA process, Fractional integration, fractional Levy process, Levy process, multivariate stochastic integral 
Journal title:
Journal of Mult. Anal. 
Year:
2007 
Journal volume:
98 
Journal issue:
Pages contribution:
1705 - 1725 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
Semester:
SS 07 
Format:
Text