论文标题
多元ARMA/CARMA转换关系
The multivariate ARMA/CARMA transformation relation
论文作者
论文摘要
多元ARMA和CARMA过程之间的转换关系是通过离散程序得出的。这给出了离散时间和连续时间类似物之间的直接关系，这是多元CARMA模型估算方法的基础。我们将看到，构成多元CARMA模型的确定性部分的自回旋系数完全由转换关系给出。对于无限变化的小跳跃，发现跳跃扩散的Euler离散化收敛速率。这证实了应用转换关系以估算由nig-lévy过程驱动的多元CARMA模型。二维CAR模型适合平流层温度和风数据，以估计方法应用转换关系的一个例子。
A transformation relation between multivariate ARMA and CARMA processes is derived through a discretization procedure. This gives a direct relationship between the discrete time and continuous time analogues, serving as the basis for an estimation method for multivariate CARMA models. We will see that the autoregressive coefficients, making up the deterministic part of a multivariate CARMA model, are entirely given by the transformation relation. An Euler discretization convergence rate of jump diffusions is found for the case of small jumps of infinite variation. This substantiates applying the transformation relation for estimation of multivariate CARMA models driven by NIG-Lévy processes. A two-dimensional CAR model is fit to stratospheric temperature and wind data, as an example of how to apply the transformation relation in estimation methods.
