The Dimensionality of the Aliasing Problem in Models With Rational Spectral Densities
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aliasing problemcontinuous-time stochastic processparameter identificationrational spectral density matrix
Eigenvalues, singular values, and eigenvectors (15A18) Stationary stochastic processes (60G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and spectral analysis (62M15) Sampled-data control/observation systems (93C57) Model systems in control theory (93C99) Identification in stochastic control theory (93E12)
Cited in
(36)- The estimation of systems of joint differential-difference equations
- Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
- A new delta expansion for multivariate diffusions via the Itô-Taylor expansion
- Quasi maximum likelihood estimation for strongly mixing state space models and multivariate Lévy-driven CARMA processes
- Estimation of continuous and discrete time co-integrated systems with stock and flow variables
- Whittle estimation for continuous-time stationary state space models with finite second moments
- The Jacobian of the exponential function
- Continuous time state space modeling of panel data by means of sem
- Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies
- Closed-form likelihood expansions for multivariate diffusions
- Closed-form likelihood expansions for multivariate time-inhomogeneous diffusions
- A class of stationary random fields with a simple correlation structure
- Frequency domain estimation of temporally aggregated Gaussian cointegrated systems
- Multivariate AR systems and mixed frequency data: G-identifiability and estimation
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- SEM modeling with singular moment matrices. II: ML-estimation of sampled stochastic differential equations
- 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
- ESTIMATION OF DIFFERENTIAL-DIFFERENCE EQUATION SYSTEMS WITH UNKNOWN LAG PARAMETERS
- Problems with the estimation of stochastic differential equations using structural equations models
- The aliasing‐phenomenon in visual terms
- Continuous-discrete state-space modeling of panel data with nonlinear filter algorithms
- CONTINUOUS-TIME DYNAMICAL SYSTEMS WITH SAMPLED DATA, ERRORS OF MEASUREMENT AND UNOBSERVED COMPONENTS
- Explicit form of approximate transition probability density functions of diffusion processes
- Cointegrated continuous-time linear state-space and MCARMA models
- Bias in estimating multivariate and univariate diffusions
- Identifying restrictions for finite parameter continuous time models with discrete time data
- A multifactor transformed diffusion model with applications to VIX and VIX futures
- In-fill asymptotic theory for structural break point in autoregressions
- Local Whittle estimation of high-dimensional long-run variance and precision matrices
- An efficient method to simulate diffusion bridges
- A note on the embeddability conditions in the case of integrated CARMA (2, 1) stochastic process with single and double zero roots
- Identification and estimation of continuous-time dynamic discrete choice games
- Identification of continuous-time linear filters when only discrete-time data is available
- Extended Yule-Walker identification of VARMA models with single- or mixed-frequency data
- Estimation of fractional integration under temporal aggregation
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