Moments of MGOU processes and positive semidefinite matrix processes-Reference-Cited by-同舟云学术

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Moments of MGOU processes and positive semidefinite matrix processes

Published:2012-10 Issue: Volume:111 Page:183-197
ISSN:0047-259X
Container-title:Journal of Multivariate Analysis
language:en
Short-container-title:Journal of Multivariate Analysis

Author:

Behme Anita

Funder

NTH

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference16 articles.

1. Matrix subordinators and related Upsilon transformations;Barndorff-Nielsen;Teor. Veroyatn. Primen.,2007

2. Modelling by Lévy processes for financial econometrics;Barndorff-Nielsen,2001

3. Positive-definite matrix processes of finite variation;Barndorff-Nielsen;Probab. Math. Statist.,2007

4. Distributional properties of solutions of dVt=Vt−dUt+dLt with Lévy noise;Behme;Adv. in Appl. Probab.,2011

5. Multivariate generalized Ornstein–Uhlenbeck processes;Behme;Stoch. Proc. Appl.,2012

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Moment‐based estimation for the multivariate COGARCH(1,1) process;Scandinavian Journal of Statistics;2021-05-27

2. Continuous time autoregressive moving average processes with random Lévy coefficients;Latin American Journal of Probability and Mathematical Statistics;2017

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