A construction of continuous-time ARMA models by iterations of Ornstein-Uhlenbeck processes

作者：Anatia Argimiro^*; Cabana Alejandra; Cabana Enrique M

来源：Statistics and Operations Research Transactions, 2016, 40(2): 267-302.

• Ornstein-Uhlenbeck process
• Levy process
• Continuous ARMA
• stationary process

We present a construction of a family of continuous-time ARMA processes based on p iterations of the linear operator that maps a Levy process onto an Ornstein-Uhlenbeck process. The construction resembles the procedure to build an AR((p)) from an AR(1). We show that this family is in fact a subfamily of the well-known CARMA((p,q)) processes, with several interesting advantages, including a smaller number of parameters. The resulting processes are linear combinations of Ornstein-Uhlenbeck processes all driven by the same Levy process. This provides a straightforward computation of covariances, a state-space model representation and methods for estimating parameters. Furthermore, the discrete and equally spaced sampling of the process turns to be an ARMA((p,p - 1)) process. We propose methods for estimating the parameters of the iterated Ornstein-Uhlenbeck process when the noise is either driven by a Wiener or a more general Levy process, and show simulations and applications to real data.