Multivariate fractionally integrated CARMA processes
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References listed on IDEAS
- P. Brockwell, 2001. "Lévy-Driven Carma Processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 53(1), pages 113-124, March.
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- Vicky Fasen, 2016. "Dependence Estimation for High-frequency Sampled Multivariate CARMA Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 43(1), pages 292-320, March.
- P. Brockwell, 2014. "Recent results in the theory and applications of CARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(4), pages 647-685, August.
- Fasen, Vicky & Fuchs, Florian, 2013. "On the limit behavior of the periodogram of high-frequency sampled stable CARMA processes," Stochastic Processes and their Applications, Elsevier, vol. 123(1), pages 229-273.
- Holger Fink, 2016. "Conditional Distributions of Mandelbrot–van ness Fractional LÉVY Processes and Continuous-Time ARMA–GARCH-Type Models with Long Memory," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(1), pages 30-45, January.
- Brockwell, Peter J. & Schlemm, Eckhard, 2013. "Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations," Journal of Multivariate Analysis, Elsevier, vol. 115(C), pages 217-251.
More about this item
KeywordsCARMA process FICARMA process Fractional integration Fractional Lévy process Lévy process Multivariate stochastic integral;
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