Statistical Inference for MCARMA Processes

Multivariate continuous-time ARMA(p,q) (MCARMA(p,q)) processes are the continuous-time analog of the well-known vector ARMA(p,q) processes. This thesis contributes to the field of statistical inference of MCARMA processes in two ways. In the first part, we study information criteria, which provide a method to select a suitably MCARMA process as a model for given data. The second part of the thesis is concerned with robust estimation of the parameters of MCARMA processes.