# The multivariate ARMA/CARMA transformation relation

@inproceedings{Eggen2022TheMA, title={The multivariate ARMA/CARMA transformation relation}, author={Mari Dahl Eggen}, year={2022} }

A transformation relation between multivariate ARMA and CARMA processes is derived through a discretization procedure. This gives a direct relationship between the discrete time and continuous time analogues, serving as the basis for an estimation method for multivariate CARMA models. We will see that the autoregressive coeﬃcients, making up the deterministic part of a multivariate CARMA model, are entirely given by the transformation relation. An Euler discretization convergence rate of jump…

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