Factorization and discrete-time representation of multivariate CARMA processes

Abstract

In this paper we show that stationary and non-stationary multivariate continuous-time ARMA (MCARMA) processes have the representation as a sum of multivariate complexvalued Ornstein-Uhlenbeck processes under some mild assumptions. The proof benefits from properties of rational matrix polynomials. A conclusion is an alternative description of the autocovariance function of a stationary MCARMA process. Moreover, that representation is used to show that the discrete-time sampled MCARMA(p,q) process is a weak VARMA(p, p− 1) process if second moments exist. That result complements the weak VARMA(p, p− 1) representation derived in Chambers and Thornton [8]. In particular, it relates the right solvents of the autoregressive polynomial of the MCARMA process to the right solvents of the autoregressive polynomial of the VARMA process; in the one-dimensional case the right solvents are the zeros of the autoregressive polynomial. Finally, a factorization of the sample autocovariance function of the noise sequence is presented which is useful for statistical inference.