User: Guest  Login
Document type:
Zeitschriftenaufsatz 
Author(s):
Schlemm, E. and Stelzer, R. 
Title:
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...    »
 
Keywords:
complete regularity, linear innovations, multivariate CARMA process, sampling, state space representation, strong mixing, vector ARMA process. 
Journal title:
Bernoulli 
Year:
2012 
Journal volume:
18 
Journal issue:
Pages contribution:
46-63 
Reviewed:
ja 
Language:
en 
Fulltext / DOI:
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text