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.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 models are discussed in the case of equally-spaced observations. Some discussion of issues of statistical inference is included.
| Item Type: | Article |
|---|---|
| Official URL: | http://journals.cambridge.org/action/displayJourna... |
| 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: | 05 Jan 2024 05:24 |
| URI: | http://eprints.lse.ac.uk/id/eprint/30317 |
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