On non-negative modeling with CARMA processes

DOI10.1016/j.jmaa.2018.12.055zbMath1435.62315OpenAlexW2908513504WikidataQ128670488 ScholiaQ128670488MaRDI QIDQ2633848

Victor Rohde, Fred Espen Benth

Publication date: 10 May 2019

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://urn.nb.no/URN:NBN:no-76203

zbMATH Keywords

Lévy processesstationary processesOrnstein-Uhlenbeck processessquare-root processcontinuous-time ARMA processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70)

Related Items (3)

The Laplace transform of the integrated Volterra Wishart process ⋮ Multivariate continuous-time autoregressive moving-average processes on cones ⋮ Multivariate continuous-time modeling of wind indexes and hedging of wind risk

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