ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
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.
Year of publication: |
2009
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Authors: | Robinson, Peter M. |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 25.2009, 04, p. 985-994
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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