Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations

@article{Brockwell2013ParametricEO,
  title={Parametric estimation of the driving L{\'e}vy process of multivariate CARMA processes from discrete observations},
  author={Peter J. Brockwell and Eckhard Schlemm},
  journal={J. Multivariate Analysis},
  year={2013},
  volume={115},
  pages={217-251}
}
We consider the parametric estimation of the driving Lévy process of a multivariate continuous-time autoregressive moving average (MCARMA) process, which is observed on the discrete time grid (0, h, 2h, . . .). Beginning with a new state space representation, we develop a method to recover the driving Lévy process exactly from a continuous record of the observed MCARMA process. We use tools from numerical analysis and the theory of infinitely divisible distributions to extend this result to… CONTINUE READING

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