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On discrete sampling of time-varying continuous-time systems

By Peter M. Robinson

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

Topics: HA Statistics, HB Economic Theory
Publisher: Cambridge University Press
Year: 2009
DOI identifier: 10.1017/S0266466608090373
OAI identifier: oai:eprints.lse.ac.uk:30317
Provided by: LSE Research Online
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