Exact discrete representations of linear continuous time models with mixed frequency data

DOI10.1111/JTSA.12471MaRDI QIDQ4973951zbMATH OpenOpenAlexWikidataFDO

Authors Michael A. Thornton

Publication date 6 December 2019

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://eprints.whiterose.ac.uk/144771/1/CTMF_final.pdf

zbMATH Keywords

CARMA processexact discrete representationmixed frequencystate spacetime aggregation

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cites work

• A Continuous Time Econometric Model of the United Kingdom with Stochastic Trends
• Continuous time ARMA processes: discrete time representation and likelihood evaluation
• DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
• Discrete time representation of stationary and non-stationary continuous time systems
• Estimation of vector error correction models with mixed-frequency data
• Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
• Forecasting aggregated vector ARMA processes
• Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
• Macroeconomics and the reality of mixed frequency data
• The estimation of continuous time models with mixed frequency data

Cited in

(9)

• Continuous time ARMA processes: discrete time representation and likelihood evaluation
• Frequency domain estimation of cointegrating vectors with mixed frequency and mixed sample data
• DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
• ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG
• Frequency domain estimation of continuous time cointegrated models with mixed frequency and mixed sample data
• Mixed first- and second-order cointegrated continuous time models with mixed stock and flow data
• Comments on `Fitting continuous-time and discrete-time models using discrete-time data and their application'
• The estimation of continuous time models with mixed frequency data
• A computationally efficient method for vector autoregression with mixed frequency data

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