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math.ST2012★ 37 cited
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…
math.ST2012★ 27 cited
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…