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Titel:

Lévy-driven causal CARMA random fields

Dokumenttyp:
Zeitungsartikel
Autor(en):
Pham, Viet Son
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
Status:
Preprint / submitted
Eingereicht (bei Zeitschrift):
22.05.2018
TUM Einrichtung:
Lehrstuhl für Mathematische Statistik
Format:
Text
Eingabe:
22.05.2018
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