
























We introduce supCARMA processes, defined as superpositions of Lévy-driven CARMA processes with respect to a Lévy basis, as a natural extension of the superpositions of Ornstein-Uhlenbeck type processes. We then focus on supCAR$(2)$ processes and show that they can be classified into three distinct types determined by the eigenstructure of the underlying CAR$(2)$ matrix. For each type we provide conditions for existence and derive explicit expressions for the correlation function. The resulting correlation structures may exhibit long-range dependence and can be non-monotone. These features make supCAR$(2)$ processes a flexible class for modeling time series with oscillatory correlations or strong dependence.
此内容由惯性聚合(RSS阅读器)自动聚合整理,仅供阅读参考。 原文来自 — 版权归原作者所有。