Spectral representation of multivariate regularly varying Lévy and CARMA processes

DOI10.1007/s10959-011-0369-0zbMath1277.60082arXiv1105.2706OpenAlexW2038696470MaRDI QIDQ354751

Florian Fuchs, Robert Stelzer

Publication date: 19 July 2013

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.2706

zbMATH Keywords

spectral representationLevy processrandom noisemultivariate regular variationCARMA processrandom orthogonal measure

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10) Inference from stochastic processes and spectral analysis (62M15) Random measures (60G57)

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Functional regular variation of Lévy-driven multivariate mixed moving average processes

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