Representations of continuous-time ARMA processes

Abstract

Using the kernel representation of a continuous-time Lévy-driven ARMA (autoregressive moving average) process, we extend the class of nonnegative Lévy-driven Ornstein–Uhlenbeck processes employed by Barndorff-Nielsen and Shephard (2001) to allow for nonmonotone autocovariance functions. We also consider a class of fractionally integrated Lévy-driven continuous-time ARMA processes obtained by a simple modification of the kernel of the continuous-time ARMA process. Asymptotic properties of the kernel and of the autocovariance function are derived.

Cite this work

No public copy is stored for this record, so only the metadata is cited.

Stored only when both papers are in the corpus — 99 citations exist upstream.

Papers that cite the same references — the relational fallback while embeddings are still backfilling.