Aspects of non‐causal and non‐invertible CARMA processes
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DOI: 10.1111/jtsa.12589
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References listed on IDEAS
- Wyłomańska, Agnieszka & Gajda, Janusz, 2016. "Stable continuous-time autoregressive process driven by stable subordinator," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 1012-1026.
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- Brouste, Alexandre & Fukasawa, Masaaki & Hino, Hideitsu & Iacus, Stefano & Kamatani, Kengo & Koike, Yuta & Masuda, Hiroki & Nomura, Ryosuke & Ogihara, Teppei & Shimuzu, Yasutaka & Uchida, Masayuki & Y, 2014. "The YUIMA Project: A Computational Framework for Simulation and Inference of Stochastic Differential Equations," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 57(i04).
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- Peter J. Brockwell & Alexander Lindner, 2010. "Strictly stationary solutions of autoregressive moving average equations," Biometrika, Biometrika Trust, vol. 97(3), pages 765-772.
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Cited by:
- Benth, Fred Espen & Karbach, Sven, 2023. "Multivariate continuous-time autoregressive moving-average processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 299-337.
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