Invertibility of infinitely divisible continuous-time moving average processes

Publikation: Working paperForskning

Abstrakt

This paper studies the invertibility property of continuous time moving average processes driven by a Lévy 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 Lévy process.
OriginalsprogEngelsk
UdgiverarXiv.org
Antal sider12
StatusUdgivet - 2015
NavnarXiv.org (e-prints)

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