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Dokumenttyp:
Zeitungsartikel 
Autor(en):
Pham, Viet Son 
Titel:
Lévy-driven causal CARMA random fields 
Abstract:
We introduce Lévy-driven causal CARMA random fields on Rd, extending the class of CARMA processes. The definition is based on a system of stochastic partial differential equations which generalize the classical state-space representation of CARMA processes. The resulting CARMA model differs fundamentally from the isotropic CARMA random field of Brockwell and Matsuda. We show existence of the model under mild assumptions and examine some of its features including the second-order structure and pa...    »
 
Stichworte:
CARMA random field, Lévy basis, Lévy sheet, mild solution, path property, second- order structure, space-time modeling, SPDE, state-space 
Dewey Dezimalklassifikation:
510 Mathematik 
Zeitschriftentitel:
Preprint 
Jahr:
2018 
Jahr / Monat:
2018-05 
Quartal:
2. Quartal 
Monat:
May 
Seitenangaben Beitrag:
27 
Sprache:
en 
WWW:
_blank 
Status:
Preprint / submitted 
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik 
Format:
Text 
Eingabe:
22.05.2018