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Existence and uniqueness of stationary Lévy-driven CARMA processes

  • Published:2009-08 Issue:8 Volume:119 Page:2660-2681
  • ISSN:0304-4149
  • Container-title:Stochastic Processes and their Applications
  • language:en
  • Short-container-title:Stochastic Processes and their Applications

Author:

Brockwell Peter J.,Lindner Alexander

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference13 articles.

1. Time Series: Theory and Methods;Brockwell,1991

2. Continuous-time ARMA Processes;Brockwell,2001

3. Fractionally integrated continuous-time ARMA processes;Brockwell;Statist. Sinica,2005

4. Lévy-driven CARMA processes;Brockwell;Ann. Inst. Stat. Math.,2001

5. On a continuous analogue of the stochastic difference equation xn=ρxn−1+bn;Wolfe;Stochastic Process. Appl.,1982

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1. Entropic Compressibility of Lévy Processes;IEEE Transactions on Information Theory;2022-08

2. A note on estimation of α-stable CARMA processes sampled at low frequencies;Journal of Statistical Planning and Inference;2022-07

3. Modelling Temperature Using CARMA Processes with Stochastic Speed of Mean Reversion for Temperature Insurance Pricing;Malaysian Journal of Mathematical Sciences;2022-04-29

4. Factorization and discrete-time representation of multivariate CARMA processes;Latin American Journal of Probability and Mathematical Statistics;2022

5. Whittle estimation for continuous-time stationary state space models with finite second moments;Annals of the Institute of Statistical Mathematics;2021-07-31
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