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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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Identification Number: 520

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
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
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
Last Modified: 01 Oct 2010 08:58
URI: http://eprints.lse.ac.uk/id/eprint/6795

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