• Corpus ID: 248693347

The multivariate ARMA/CARMA transformation relation

@inproceedings{Eggen2022TheMA,
  title={The multivariate ARMA/CARMA transformation relation},
  author={Mari Dahl Eggen},
  year={2022}
}
  • M. Eggen
  • Published 10 May 2022
  • Mathematics
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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