Library Header Image
LSE Research Online LSE Library Services

On discrete sampling of time-varying continuous-time systems

Robinson, Peter M. (2009) On discrete sampling of time-varying continuous-time systems. Econometric Theory, 25 (04). pp. 985-994. ISSN 0266-4666

Full text not available from this repository.

Identification Number: 10.1017/S0266466608090373


We consider a multivariate continuous-time process, generated by a system of linear stochastic differential equations, driven by white noise, and involving coefficients that possibly vary over time. The process is observable only at discrete, but not necessarily equally-spaced, time points (though equal spacing significantly simplifies matters). Such settings represent partial extensions of ones studied extensively by A.R. Bergstrom. A model for the observed time series is deduced. Initially we focus on a first-order model, but higher-order models are discussed in the case of equally-spaced observations. Some discussion of issues of statistical inference is included.

Item Type: Article
Official URL:
Additional Information: © 2009 CUP
Divisions: Economics
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Date Deposited: 06 Apr 2011 13:05
Last Modified: 20 Jun 2021 02:57

Actions (login required)

View Item View Item