Measure-Valued CARMA Processes

Fred Espen Benth, Sven Karbach and Asma Khedher

Papers from arXiv.org

Abstract: In this paper, we examine continuous-time autoregressive moving-average (CARMA) processes on Banach spaces driven by L\'evy subordinators. We show their existence and cone-invariance, investigate their first and second order moment structure, and derive explicit conditions for their stationarity. Specifically, we define a measure-valued CARMA process as the analytically weak solution of a linear state-space model in the Banach space of finite signed measures. By selecting suitable input, transition, and output operators in the linear state-space model, we show that the resulting solution possesses CARMA dynamics and remains in the cone of positive measures defined on some spatial domain. We also illustrate how positive measure-valued CARMA processes can be used to model the dynamics of functionals of spatio-temporal random fields and connect our framework to existing CARMA-type models from the literature, highlighting its flexibility and broader applicability.

Date: 2025-05
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