Invertibility of infinitely divisible continuous-time moving average processes

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Abstract

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.
Original languageEnglish
PublisherarXiv.org
Number of pages12
Publication statusPublished - 2015
SeriesarXiv.org (e-prints)

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abstract = "This paper studies the invertibility property of continuous time moving average processes driven by a L{\'e}vy 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{\'e}vy process.",
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