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Document type:
Zeitschriftenaufsatz 
Author(s):
Fuchs, F., and Stelzer, R. 
Title:
Spectral representation of multivariate regularly varying Lévy and CARMA processes 
Abstract:
A spectral representation for regularly varying Lévy processes with index between one and two is established and the properties of the resulting random noise are discussed in detail giving also new insight in the L2-case where the noise is a random orthogonal measure. This allows a spectral definition of multivariate regularly varying Lévy-driven continuous time autoregressive moving average (CARMA) processes. It is shown that they extend the well-studied case with finite second moments and co...    »
 
Keywords:
CARMA process, Lévy process, spectral representation, multivariate regular variation, random noise, random orthogonal measure 
Journal title:
Journal of Theoretical Probability 
Year:
2013 
Journal volume:
26 
Journal issue:
Pages contribution:
410-436 
Reviewed:
ja 
Language:
en 
Status:
Verlagsversion / published 
TUM Institution:
Lehrstuhl für Mathematische Statistik 
Format:
Text