Invertibility of infinitely divisible continuous-time moving average processes
Probability
2019-02-13 v3
Abstract
This paper studies the invertibility property of continuous time moving average processes driven by a L\'evy process. We provide of sufficient conditions for the recovery of the driving noise. Our assumptions are specified via the kernel involved and the characteristic triplet of the background driving L\'evy process.
Cite
@article{arxiv.1505.00196,
title = {Invertibility of infinitely divisible continuous-time moving average processes},
author = {Orimar Sauri},
journal= {arXiv preprint arXiv:1505.00196},
year = {2019}
}