Factorization and discrete-time representation of multivariate CARMA processes

zbMath1493.62520arXiv2102.11681MaRDI QIDQ5093991

Markus Scholz, Vicky Fasen-Hartmann

Publication date: 2 August 2022

Full work available at URL: https://arxiv.org/abs/2102.11681

zbMATH Keywords

Ornstein-Uhlenbeck processautocovariance functionmatrix polynomialrational matrix functionlatent rootright solventVARMA processMCARMA process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Inference from stochastic processes and fuzziness (62M86)

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