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Title:

Lévy-driven causal CARMA random fields

Document type:
Zeitungsartikel
Author(s):
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...     »
Keywords:
CARMA random field, Lévy basis, Lévy sheet, mild solution, path property, second- order structure, space-time modeling, SPDE, state-space
Dewey Decimal Classification:
510 Mathematik
Journal title:
Preprint
Year:
2018
Year / month:
2018-05
Quarter:
2. Quartal
Month:
May
Pages contribution:
27
Language:
en
Status:
Preprint / submitted
Submitted:
22.05.2018
TUM Institution:
Lehrstuhl für Mathematische Statistik
Format:
Text
Ingested:
22.05.2018
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