Cointegrated continuous-time linear state-space and MCARMA models
| Autor: | Vicky Fasen-Hartmann, Markus Scholz |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
Statistics::Theory Statistics::Applications Cointegration State-space representation Kalman filter Lévy process Statistics::Computation Identification (information) Computer Science::Computational Engineering Finance and Science Modeling and Simulation Statistics::Methodology State space Applied mathematics Canonical form Mathematics |
| Zdroj: | Stochastics. 92:1064-1099 |
| ISSN: | 1744-2516 1744-2508 |
| DOI: | 10.1080/17442508.2019.1691206 |
| Popis: | In this paper, we define and characterize cointegrated solutions of continuous-time linear state-space models driven by Levy processes. Cointegrated solutions of such models are shown to be represe... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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