3 papers
math.ST2021
Factorization and discrete-time representation of multivariate CARMA processes
Vicky Fasen-Hartmann, Markus Scholz
In this paper we show that stationary and non-stationary multivariate continuous-time ARMA (MCARMA) processes have the representation as a sum of multivariate complex-valued Ornste…
math.ST2017
Quasi-maximum likelihood estimation for cointegrated continuous-time state space models observed at low frequencies
Vicky Fasen-Hartmann, Markus Scholz
In this paper, we investigate quasi-maximum likelihood (QML) estimation for the parameters of a cointegrated solution of a continuous-time linear state space model observed at disc…
math.PR2016
Cointegrated Continuous-time Linear State Space and MCARMA Models
Vicky Fasen-Hartmann, Markus Scholz
In this paper we define and characterize cointegrated continuous-time linear state-space models. A main result is that a cointegrated continuous-time linear state-space model can b…