Location of Repository

Stochastic difference equations with non-integral differences

By Peter Robinson


As an alternative to conventional discrete time models for stochastic processes that fluctuate within the sampling interval, we propose difference equations containing non-integral lags. We discuss the problems of stability, identification and estimation, for which an approximate model is needed. Least squaresa pplied to an approximateF ourier-transformedm odel yields estimators of the coefficients that are consistent with respect to the true model under some conditions. The conditions are weak when the model contains predetermined variables that obey an "aliasing condition"; estimators of the lags as well as coefficients can then be found that are consistent, efficient and satisfy a central limit theorem. Optimal estimators for stochastic differencedifferential equations are also available

Topics: HA Statistics, HB Economic Theory, QA Mathematics
Publisher: Applied Probability Trust
Year: 1974
OAI identifier: oai:eprints.lse.ac.uk:1403
Provided by: LSE Research Online
Download PDF:
Sorry, we are unable to provide the full text but you may find it at the following location(s):
  • http://www.appliedprobability.... (external link)
  • http://eprints.lse.ac.uk/1403/ (external link)
  • Suggested articles

    To submit an update or takedown request for this paper, please submit an Update/Correction/Removal Request.