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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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)|
|Additional Information:||© 2007 Peter Robinson|
|Uncontrolled Keywords:||Stochastic differential equations; time-varying coefficients; discrete sampling; irregular sampling.|
|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)
|Date Deposited:||09 Jul 2008 10:49|
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