10 citations · 11 across the 3 of their papers we have counts for
4 papers
Information Criteria for Multivariate CARMA Processes
Vicky Fasen, Sebastian Kimmig
Multivariate continuous-time ARMA(p,q) (MCARMA(p,q)) processes are the continuous-time analog of the well-known vector ARMA(p,q) processes. They have attracted interest over the la…
Stable Random Fields, Point Processes and Large Deviations
Vicky Fasen, Parthanil Roy
We investigate the large deviation behaviour of a point process sequence based on a stationary symmetric stable non-Gaussian discrete-parameter random field using the framework of…
Dependence Estimation for High Frequency Sampled Multivariate CARMA Models
Vicky Fasen
The paper considers high frequency sampled multivariate continuous-time ARMA (MCARMA) models, and derives the asymptotic behavior of the sample autocovariance function to a normal…
Asymptotic results for sample autocovariance functions and extremes of integrated generalized Ornstein-Uhlenbeck processes
Vicky Fasen
We consider a positive stationary generalized Ornstein--Uhlenbeck process \[V_t=\mathrm{e}^{-ξ_t}\biggl(\int_0^t\mathrm{e}^{ξ_{s-}}\ ,\mathrm{d}η_s+V_0\biggr)\qquadfor t\geq0,\] an…