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math.PR2022★ 3 cited
Multivariate continuous-time autoregressive moving-average processes on cones
Fred Espen Benth, Sven Karbach
In this article we study multivariate continuous-time autoregressive moving-average (MCARMA) processes with values in convex cones. More specifically, we introduce matrix-valued MC…
math.PR2022★ 1 cited
Stationary Covariance Regime for Affine Stochastic Covariance Models in Hilbert Spaces
Martin Friesen, Sven Karbach
We study the long-time behavior of affine processes on positive self-adjoiont Hilbert-Schmidt operators which are of pure-jump type, conservative and have finite second moment. For…