Information criteria for multivariate CARMA processes
نویسندگان
چکیده
منابع مشابه
Spectral Representation of Multivariate Regularly Varying Lévy and CARMA Processes
A spectral representation for regularly varying Lévy processes with index between one and two is established and the properties of the resulting random noise are discussed in detail giving also new insight in the L2-case where the noise is a random orthogonal measure. This allows a spectral definition of multivariate regularly varying Lévy-driven continuous time autoregressive moving average (C...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2017
ISSN: 1350-7265
DOI: 10.3150/16-bej830