CARMA\((p,q)\) generalized random processes

DOI10.1016/j.jspi.2010.04.028zbMath1404.60051OpenAlexW2160407460MaRDI QIDQ993798

Peter J. Brockwell, Jan Hannig

Publication date: 20 September 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2010.04.028

zbMATH Keywords

stochastic differential equationwhite noisegeneralized random processstate-space representationCARMA process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stationary stochastic processes (60G10) Generalized stochastic processes (60G20)

Related Items

Embedding in law of discrete time ARMA processes in continuous time stationary processes ⋮ Lévy driven CARMA generalized processes and stochastic partial differential equations ⋮ CARMA processes as solutions of integral equations ⋮ Recent results in the theory and applications of CARMA processes ⋮ The domain of definition of the Lévy white noise ⋮ Wavelet analysis of the Besov regularity of Lévy white noise ⋮ Gaussian and sparse processes are limits of generalized Poisson processes

Cites Work

• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Stationary random distributions
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