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A popular theory of self-organized criticality relates driven dissipative systems to systems with conservation. This theory predicts that the stationary density of the abelian sandpile model equals th...
Parametric estimation of the driving Lévy process of multivariate CARMA processes from discrete observations
Parametric estimation the driving Lévy process of multivariate CARMA processes discrete observations
2012/11/23
We consider the parametric estimation of the driving L\'evy process of a multivariate continuous-time autoregressive moving average (MCARMA) process, which is observed on the discrete time grid $(0,h,...