Related papers: Continuous-time autoregressive moving-average proc…

Existing models for high-dimensional time series are overwhelmingly developed within the finite-order vector autoregressive (VAR) framework. However, the more flexible vector autoregressive moving averages (VARMA) have been much less…

We analyze confining mechanisms for L\'{e}vy flights. When they evolve in suitable external potentials their variance may exist and show signatures of a superdiffusive transport. Two classes of stochastic jump - type processes are…

Explicit coupling property and gradient estimates are investigated for the linear evolution equations on Hilbert spaces driven by an additive cylindrical L\'evy process. The results are efficiently applied to establish the exponential…

We consider the functional regular variation in the space $\mathbb{D}$ of c\`adl\`ag functions of multivariate mixed moving average (MMA) processes of the type $X_t = \int\int f(A, t - s) \Lambda (d A, d s)$. We give sufficient conditions…

Stochastic averaging problems with Gaussian forcing have been studied thoroughly for many years, but far less attention has been paid to problems where the stochastic forcing has infinite variance, such as an {\alpha}-stable noise forcing.…

This paper proposes the beta binomial autoregressive moving average model (BBARMA) for modeling quantized amplitude data and bounded count data. The BBARMA model estimates the conditional mean of a beta binomial distributed variable…

Gaussian processes are a powerful class of non-linear models, but have limited applicability for larger datasets due to their high computational complexity. In such cases, approximate methods are required, for example, the recently…

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…

For each $\lambda>0$ and every square-integrable infinitely-divisible (ID) distribution there exists at least one stationary stochastic process $t\mapsto X_t$ with the specified distribution for $X_1$ and with first-order autoregressive…

In this paper, we propose a novel variable selection approach in the framework of sparse high-dimensional GLARMA models. It consists in combining the estimation of the autoregressive moving average (ARMA) coefficients of these models with…

In this article, we first propose the modified Hannan-Rissanen Method for estimating the parameters of the autoregressive moving average (ARMA) process with symmetric stable noise and symmetric stable generalized autoregressive conditional…

In this paper we discuss dynamic ARMA-type regression models for time series taking values in $(0,\infty)$. In the proposed model, the conditional mean is modeled by a dynamic structure containing autoregressive and moving average terms,…

We prove new velocity averaging lemmas for multi-dimensional hyperbolic-parabolic partial differential equations. These theorems may be applied to establish several compactness results for both deterministic and stochastic…

We consider Hilbert spaces of analytic functions in the disk with a normalized reproducing kernel and such that the backward shift $f(z) \mapsto \frac{f(z)-f(0)}{z}$ is a contraction on the space. We present a model for this operator and…

We extend the Granger-Johansen representation theorems for I(1) and I(2) vector autoregressive processes to accommodate processes that take values in an arbitrary complex separable Hilbert space. This more general setting is of central…

Motivated by a variety of applications, high-dimensional time series have become an active topic of research. In particular, several methods and finite-sample theories for individual stable autoregressive processes with known lag have…

This article introduces the class of continuous time locally stationary wavelet processes. Continuous time models enable us to properly provide scale-based time series models for irregularly-spaced observations for the first time, while…

Subspace methods like canonical variate analysis (CVA) are regression based methods for the estimation of linear dynamic state space models. They have been shown to deliver accurate (consistent and asymptotically equivalent to quasi maximum…

Functional autoregressive (FAR) models provide a fundamental framework for analyzing temporally dependent functional data. However, the infinite-dimensional nature of the underlying Hilbert space introduces intrinsic ill-posedness, as the…

In this paper we introduce a new model named CARMA(p,q)-Hawkes process as the Hawkes model with exponential kernel implies a strictly decreasing behaviour of the autocorrelation function and empirically evidences reject the monotonicity…