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Titel:

Multivariate fractionally integrated CARMA processes

Dokumenttyp:
Zeitschriftenaufsatz
Autor(en):
Marquardt, T.
Abstract:
A multivariate analogue of the fractionally integrated continuous time autoregressive moving average (FICARMA) process defined by Brockwell [Representations of continuous-time ARMA processes, J. Appl. Probab. 41 (A) (2004) 375-382] is introduced. We show that the multivariate FICARMA process has two kernel representations: as an integral over the fractionally integrated CARMA kernel with respect to a Levy process and as an integral over the original (not fractionally integrated) CARMA kernel wit...     »
Stichworte:
CARMA process, FICARMA process, Fractional integration, fractional Levy process, Levy process, multivariate stochastic integral
Zeitschriftentitel:
Journal of Mult. Anal.
Jahr:
2007
Band / Volume:
98
Heft / Issue:
9
Seitenangaben Beitrag:
1705 - 1725
Reviewed:
ja
Sprache:
en
Volltext / DOI:
doi:http://dx.doi.org/10.1016/j.jmva.2006.07.001
Status:
Verlagsversion / published
Semester:
SS 07
Format:
Text
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