Library Header Image
LSE Research Online LSE Library Services

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, UK.

Download (161kB) | Preview


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:
Additional Information: © 2007 Peter Robinson
Divisions: Economics
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
JEL classification: C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models
Date Deposited: 09 Jul 2008 10:49
Last Modified: 16 May 2024 11:44

Actions (login required)

View Item View Item


Downloads per month over past year

View more statistics