Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155950 | Stochastic Processes and their Applications | 2009 | 22 Pages |
Abstract
Necessary and sufficient conditions for the existence of a strictly stationary solution of the equations defining a general Lévy-driven continuous-parameter ARMA process with index set RR are determined. Under these conditions the solution is shown to be unique and an explicit expression is given for the process as an integral with respect to the background driving Lévy process. The results generalize results obtained earlier for second-order processes and for processes defined by the Ornstein–Uhlenbeck equation.
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Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Peter J. Brockwell, Alexander Lindner,