On the definition, stationary distribution and second order structure of positive semidefinite Ornstein--Uhlenbeck type processes

Christian Pigorsch; Robert Stelzer

doi:10.3150/08-bej175

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arXiv · 0909.0851

On the definition, stationary distribution and second order structure of positive semidefinite Ornstein--Uhlenbeck type processes

Christian Pigorsch·Robert Stelzer

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Abstract

Several important properties of positive semidefinite processes of Ornstein--Uhlenbeck type are analysed. It is shown that linear operators of the form $X\mapsto AX+XA^{\mathrm{T}}$ with $A\in M_d(\mathbb{R})$ are the only ones that can be used in the definition provided one demands a natural non-degeneracy condition. Furthermore, we analyse the absolute continuity properties of the stationary distribution (especially when the driving matrix subordinator is the quadratic variation of a $d$-dimensional Lévy process) and study the question of how to choose the driving matrix subordinator in order to obtain a given stationary distribution. Finally, we present results on the first and second order moment structure of matrix subordinators, which is closely related to the moment structure of positive semidefinite Ornstein--Uhlenbeck type processes. The latter results are important for method of moments based estimation.

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Christian Pigorsch, Robert Stelzer. 2009-09-04. On the definition, stationary distribution and second order structure of positive semidefinite Ornstein--Uhlenbeck type processes. https://doi.org/10.3150/08-bej175

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