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- Title:
Multivariate CARMA Processes
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Marquardt, T. and Stelzer, R.
- Abstract:
- A multivariate Lévy-driven continuous time autoregressive moving average (CARMA) model of order (p,q), q
- Keywords:
- CARMA process; Lévy process; Multivariate stochastic differential equation; Spectral representation
- Journal title:
- Stochastic Processes and their Applications
- Year:
- 2007
- Journal volume:
- 117
- Journal issue:
- 1
- Pages contribution:
- 96-120
- Reviewed:
- ja
- Language:
- en
- Fulltext / DOI:
- doi:10.1016/j.spa.2006.05.014
- Status:
- Verlagsversion / published
- TUM Institution:
- Lehrstuhl für Mathematische Statistik
- Format:
- Text
BibTeX