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On discrete sampling of time-varying continuous-time systems

Robinson, Peter (2007) On discrete sampling of time-varying continuous-time systems. EM, 520. Suntory and Toyota International Centres for Economics and Related Disciplines, London School of Economics and Political Science, London, UK.

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Abstract

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 ones are discussed in case of equally-spaced observations. Some discussion of issues of statistical inference is included.

Item Type: Monograph (Discussion Paper)
Official URL: http://sticerd.lse.ac.uk
Additional Information: © 2007 Peter Robinson
Library of Congress subject classification: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Journal of Economic Literature Classification System: C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models
Sets: Collections > Economists Online
Departments > Economics
Research centres and groups > Suntory and Toyota International Centres for Economics and Related Disciplines (STICERD)
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Identification Number: 520
Date Deposited: 09 Jul 2008 10:49
URL: http://eprints.lse.ac.uk/6795/

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