EMBEDDING A GAUSSIAN DISCRETE-TIME AUTOREGRESSIVE MOVING AVERAGE PROCESS IN A GAUSSIAN CONTINUOUS-TIME AUTOREGRESSIVE MOVING AVERAGE PROCESS

摘要

Embedding a discrete-time autoregressive moving average (DARMA) process in a continuous-time ARMA (CARMA) process has been discussed by many authors. These authors have considered the relationship between the autocovariance structures of continuous-time and related discrete-time processes. In this article, we treat the problem from a slightly different point of view. We define embedding in a more rigid way by taking account of the probability structure. We consider Gaussian processes. First we summarize the necessary and sufficient condition for a DARMA process to be able to be embedded in a CARMA process. Secondly, we show a concrete condition such that a DARMA process can be embeddable in a CARMA process. This condition is new and general. Thirdly, we show some special cases including new examples. We show how we can examine embeddability for these special cases.