Multivariate continuous-time autoregressive moving-average processes on cones

DOI10.1016/j.spa.2023.05.003zbMath1524.60074arXiv2206.08782OpenAlexW4376127393MaRDI QIDQ6115253

Fred Espen Benth, Sven Karbach

Publication date: 12 July 2023

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2206.08782

zbMATH Keywords

multivariate stochastic volatilitymultivariate CARMA processespositive MCARMApositive semi-definite processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) General second-order stochastic processes (60G12)

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