97 citations · 408 across the 20 of their papers we have counts for
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Central limit theorems for stationary random fields under weak dependence with application to ambit and mixed moving average fields
Imma Valentina Curato, Robert Stelzer, Bennet Ströh
We obtain central limit theorems for stationary random fields employing a novel measure of dependence called -lex weak dependence. We show that this dependence notion is more ge…
Inheritance of strong mixing and weak dependence under renewal sampling
Dirk-Philip Brandes, Imma Valentina Curato, Robert Stelzer
Let be a continuous-time strongly mixing or weakly dependent process and a renewal process independent of with inter-arrival times . We show general conditions under…
Moment based estimation for the multivariate COGARCH(1,1) process
Thiago do Rêgo Sousa, Robert Stelzer
For the multivariate COGARCH process, we obtain explicit expressions for the second-order structure of the "squared returns" process observed on an equidistant grid. Based on this,…
Weak dependence and GMM estimation of supOU and mixed moving average processes
Imma Valentina Curato, Robert Stelzer
We consider a mixed moving average (MMA) process X driven by a Lévy basis and prove that it is weakly dependent with rates computable in terms of the moving average kernel and the…
Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
Eckhard Schlemm, Robert Stelzer
We consider quasi maximum likelihood (QML) estimation for general non-Gaussian discrete-ime linear state space models and equidistantly observed multivariate Lévy-driven continuous…
Multivariate CARMA processes, continuous-time state space models and complete regularity of the innovations of the sampled processes
Eckhard Schlemm, Robert Stelzer
The class of multivariate Lévy-driven autoregressive moving average (MCARMA) processes, the continuous-time analogs of the classical vector ARMA processes, is shown to be equivalen…