Spectral Representation of Multivariate Regularly Varying Lévy and CARMA processes

Details Spectral Representation of Multivariate Regularly Varying Lévy and CARMA processes Spectral Representation of Multivariate Regularly Varying Lévy and CARMA processes

2011-05-13

arxiv.org/abs/1105.2706v1

Mathematics

Probability

24 pages

Scientific paper

A spectral representation for regularly varying L\'evy processes with index between one and two is established and the properties of the resulting random noise are discussed in detail giving also new insight in the $L^2$-case where the noise is a random orthogonal measure. This allows a spectral definition of multivariate regularly varying L\'evy-driven continuous time autoregressive moving average (CARMA) processes. It is shown that they extend the well-studied case with finite second moments and coincide with definitions previously used in the infinite variance case when they apply.

Affiliated with

Also associated with

No associations

Rating

Spectral Representation of Multivariate Regularly Varying Lévy and CARMA processes does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.

If you have personal experience with Spectral Representation of Multivariate Regularly Varying Lévy and CARMA processes, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and Spectral Representation of Multivariate Regularly Varying Lévy and CARMA processes will most certainly appreciate the feedback.

Rate now

Comments { 0 }

Profile ID: LFWR-SCP-O-27290