Abstract
A multivariate Lévy-driven continuous time autoregressive moving average (CARMA) model of order ( p , q ), q < p , is introduced. It extends the well-known univariate CARMA and multivariate discrete time ARMA models. We give an explicit construction using a state space representation and a spectral representation of the driving Lévy process. Furthermore, various probabilistic properties of the state space model and the multivariate CARMA process itself are discussed in detail.
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