Linear regression in continuous time

DOI10.1017/S1446788700029451MaRDI QIDQ4130781zbMATH OpenFDO

Authors E. J. Hannan

Publication date 1975

Published in Journal of the Australian Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/S1446788700029451

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Inference from stochastic processes and spectral analysis (62M15) Inference from stochastic processes and prediction (62M20)

Cited in

(2)

• The BLUE in continuous-time regression models with correlated errors
• Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error

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