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Abstract: The definition and properties of L'evy-driven CARMA (continuous-time ARMA) processes are reviewed. Gaussian CARMA processes are special cases in which the driving L'evy process is Brownian motion. The use of more general L'evy processes permits the specification of CARMA processes with a wide variety of marginal distributions which may be asymmetric and heavier tailed than Gaussian. Non-negative CARMA processes are of special interest, partly because of the introduction by Barndorff-Nielsen and ... (Update)
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BibTeX entry: (Update)
@misc{ brockwell-leacutevydriven,
author = "Peter J. Brockwell and Tina Marquardt",
title = "Lévy-Driven and Fractionally Integrated ARMA Processes with Continuous
Time Parameter",
url = "citeseer.ist.psu.edu/755613.html" }
Citations (may not include all citations):272 Time Series: Theory and Methods (context) - Brockwell, Davis - 1991
94 Fractional differencing (context) - Hosking - 1981
66 Stochastic Integration and Differential Equations (context) - Philip - 2004
61 Statistical aspects of ARCH and stochastic volatility (context) - Neil - 1996
28 Maximum likelihood estimation of stationary univariate fract.. (context) - Sowell - 1992
16 Introduction to the Theory and Application of the Laplace Tr.. (context) - Doetsch - 1974
10 Non-Gaussian OrnsteinUhlenbeck -based models and some of the.. (context) - Barndorff-Nielsen, Shephard - 2001
8 Long memory in continuous-time stochastic volatility models (context) - Comte, Renault - 1998
5 Representations of continuous-time ARMA processes (context) - Brockwell - 2003
3 Long memory continuous time models (context) - Comte, Renault - 1996
2 Dynamic Models of Longmemory Processes Driven by L'evy Noise (context) - Anh, Heyde et al. - 2002
2 Simulation methods for L'evydriven CARMA stochastic volatili.. (context) - Viktor, Tauchen - 2004
1 Long-memory continuous-time correlation models (context) - Chunsheng - 2003
1 L'evy-driven CARMA processes (context) - Brockwell - 2001
1 Statisitics for Long-Memory Processes (context) - Beran - 1994
1 A note on a representation and calculation of the long-memor.. (context) - HOEg - 2000
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