Factorization and discrete-time representation of multivariate CARMA processes

Vicky Fasen-Hartmann; Markus Scholz

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arXiv · 2102.11681

Factorization and discrete-time representation of multivariate CARMA processes

Vicky Fasen-Hartmann·Markus Scholz

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Abstract

In this paper we show that stationary and non-stationary multivariate continuous-time ARMA (MCARMA) processes have the representation as a sum of multivariate complex-valued Ornstein-Uhlenbeck processes under some mild assumptions. The proof benefits from properties of rational matrix polynomials. A conclusion is an alternative description of the autocovariance function of a stationary MCARMA process. Moreover, that representation is used to show that the discrete-time sampled MCARMA(p,q) process is a weak VARMA(p,p-1) process if second moments exist. That result complements the weak VARMA(p,p-1) representation derived in Chambers and Thornton (2012). In particular, it relates the right solvents of the autoregressive polynomial of the MCARMA process to the right solvents of the autoregressive polynomial of the VARMA process; in the one-dimensional case the right solvents are the zeros of the autoregressive polynomial. Finally, a factorization of the sample autocovariance function of the noise sequence is presented which is useful for statistical inference.

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Vicky Fasen-Hartmann, Markus Scholz. 2021-02-23. Factorization and discrete-time representation of multivariate CARMA processes. https://arxiv.org/abs/2102.11681

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