DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES

DOI10.1017/S0266466611000181zbMath1234.62118MaRDI QIDQ3224042

Michael A. Thornton, Marcus J. Chambers

Publication date: 29 March 2012

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

Related Items

Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data, Cointegrated continuous-time linear state-space and MCARMA models, Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability, The estimation of continuous time models with mixed frequency data, Continuous time ARMA processes: discrete time representation and likelihood evaluation, A spectral EM algorithm for dynamic factor models, Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies, MULTIVARIATE AR SYSTEMS AND MIXED FREQUENCY DATA: G-IDENTIFIABILITY AND ESTIMATION, Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data

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