Related papers: Superpositions of CARMA processes
In this note we generalise the Phillips theorem on the subordination of Feller processes by Levy subordinators to the class of additive subordinators (i.e. subordinators with independent but possibly nonstationary increments). In the case…
Growth-fragmentation processes describe systems of particles in which each particle may grow larger or smaller, and divide into smaller ones as time proceeds. Unlike previous studies, which have focused mainly on the self-similar case, we…
In this paper, we examine continuous-time autoregressive moving-average (CARMA) processes on Banach spaces driven by L\'evy subordinators. We show their existence and cone-invariance, investigate their first and second order moment…
We introduce an axiomatisation of when a model of the form $L(V_{\kappa+1})^M$ can be considered a ``$\kappa$-Solovay model''; we show a characterisation of $\kappa$-Solovay models; and we prove elementary equivalences between…
Multivariate time series exhibit two types of dependence: across variables and across time points. Vine copulas are graphical models for the dependence and can conveniently capture both types of dependence in the same model. We derive the…
A general way to construct ladder models with certain Lie algebraic or quantum Lie algebraic symmetries is presented. These symmetric models give rise to series of integrable systems. It is shown that corresponding to these SU(2) symmetric…
The Lie product and the order relation are viewed as defining structures for Hamiltonian dynamical systems. Their admissible combinations are singled out by the requirement that the group of the Lie automorphisms be contained in the group…
Consider a multivariate L\'evy-driven Ornstein-Uhlenbeck process where the stationary distribution or background driving L\'evy process is from a parametric family. We derive the likelihood function assuming that the innovation term is…
We consider a low-energy supersymmetric scenario in which the effects of heavy supersymmetric interactions are included in a model-independent manner through a series of supersymmetric SU(3)_C*SU(2)_L*U(1)_Y invariant operators; we…
In the copula-based approach to univariate time series modeling, the finite dimensional temporal dependence of a stationary time series is captured by a copula. Recent studies investigate how copula-based time series models can be…
The fermion mass textures are discussed in the context of F-theory SU(5) GUT. The tree-level up, down and charged lepton Yukawa couplings are computed in terms of the integrals of overlapping wavefunctions at the intersection points of…
We derive general sufficient conditions for the existence of c\`adl\`ag and continuous modifications of L\'evy-driven mixed moving average processes. The conditions are explicit and easy to verify and applied to supOU, well-balanced supOU,…
A self-exciting point process with a continuous-time autoregressive moving average intensity process, named CARMA(p,q)-Hawkes model, has recently been introduced. The model generalizes the Hawkes process by substituting the…
When is it possible to interpret a given Markov process as a L\'evy-like process? Since the class of L\'evy processes can be defined by the relation between transition probabilities and convolutions, the answer to this question lies in the…
Constructing \Levy-driven Ornstein-Uhlenbeck processes is a task closely related to the notion of self-decomposability. In particular, their transition laws are linked to the properties of what will be hereafter called the \emph{a-reminder}…
A superposition of a matrix ensemble refers to the ensemble constructed from two independent copies of the original, while a decimation refers to the formation of a new ensemble by observing only every second eigenvalue. In the cases of the…
Causal disentanglement has great potential for capturing complex situations. However, there is a lack of practical and efficient approaches. It is already known that most unsupervised disentangling methods are unable to produce identifiable…
In this paper, we study the L\'evy process time-changed by independent L\'evy subordinators, namely, the incomplete gamma subordinator, the $\epsilon$-jumps incomplete gamma subordinator and tempered incomplete gamma subordinator. We derive…
In this paper, we define indexed type theories which are related to indexed ($\infty$-)categories in the same way as (homotopy) type theories are related to ($\infty$-)categories. We define several standard constructions for such theories…
Using the concept of self-decomposable subordinators introduced in Gardini et al. [11], we build a new bivariate Normal Inverse Gaussian process that can capture stochastic delays. In addition, we also develop a novel path simulation scheme…