Multivariate CARMA processes

Tina Marquardt and Robert Stelzer

Stochastic Processes and their Applications, 2007, vol. 117, issue 1, 96-120

Abstract: A multivariate Lévy-driven continuous time autoregressive moving average (CARMA) model of order (p,q), q

Keywords: CARMA; process; Lévy; process; Multivariate; stochastic; differential; equation; Spectral; representation (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (16)

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