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Abstract: A multivariate analogue of the fractionally integrated continuous time autoregressive moving average (FICARMA) process de ned by Brockwell (2004) is introduced. We show that the multivariate FICARMA process has two kernel representations: as an integral over the fractionally integrated CARMA kernel with respect to a Levy process and as an integral over the original (not fractionally integrated) CARMA kernel with respect to the corresponding fractional Levy process (FLP). In order to obtain... (Update)
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BibTeX entry: (Update)
@misc{ marquardt-multivariate,
author = "Tina Marquardt",
title = "Multivariate Fractionally Integrated CARMA Processes",
url = "citeseer.ist.psu.edu/marquardt06multivariate.html" }
Citations (may not include all citations):272 Time Series: Theory and Methods (context) - Brockwell, Davis - 1991
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29 Stochastic Integration and Di erential Equations (context) - Protter - 2004
25 evy Processes and In nitely Divisible Distributions (context) - Sato - 1999
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10 Financial Modelling with Jump Processes (context) - Cont, Tankov - 2004
8 the existence of smooth densities for jump processes (context) - Picard - 1996
5 Representations of continuous-time ARMA processes (context) - Brockwell - 2004
4 Spectral representations of in nitely divisible processes (context) - Rajput, Rosinski - 1989
4 Continuous-time ARMA processes (context) - Brockwell - 2001
3 Stochastic Di erential Equations and Di usion Processes (context) - Ikeda, Watanabe - 1989
3 Fractional integral equations and state space transforms - Buchmann, Kl - 2005
3 Continuity and boundedness of in nitely divisible processes:.. (context) - Marcus, Rosinski - 2005
3 On multidimensional Ornstein-Uhlenbeck processes driven by a.. (context) - Masuda - 2004
3 evy-driven CARMA processes (context) - Brockwell - 2001
3 evy driven and fractionally integrated ARMA processes with c.. (context) - Brockwell, Marquardt - 2005
2 of Cambridge Studies in Advanced Mathematics (context) - Applebaum - 2004
2 The long range dependence paradigm for macroeconomics and na.. - Henry, Za - 2003
2 Simulation methods for Levy-driven CARMA stochastic volatil.. (context) - Todorov, Tauchen - 2004
1 Modelling by Levy processess for nancial econometrics (context) - -Nielsen, Shephard - 2001
1 A class of nonembeddable ARMA processes (context) - Brockwell, Brockwell - 1998
1 evy processes with an application to long memory moving aver.. (context) - Marquardt, Fractional - 2005
1 Multivariate CARMA processes - Marquardt, Stelzer - 2005
1 Addtitive processes and stochastic integrals (context) - Sato - 2005
1 A note on embedding of discrete-time ARMA processes (context) - Ser, Brockwell - 1995
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