Brockwell, Peter; Kreiss, Jens-Peter; Niebuhr, Tobias - In: Annals of the Institute of Statistical Mathematics 66 (2014) 1, pp. 75-92
regularly-spaced times. It is well known that a regularly sampled stationary Ornstein–Uhlenbeck process [i.e. a CAR(1) process … observations of the CAR process at the uniformly-spaced times, together with auxiliary observations on a finer grid, which give … approximations to the derivatives of the continuous time process. This enables us to approximate the state-vector of the CAR process …