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.

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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
Divisions:	Economics STICERD
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:	15 Sep 2023 23:11
URI:	http://eprints.lse.ac.uk/id/eprint/6795

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