Optimal forecasting of discrete stock and flow data generated by a higher order continuous time system
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Publication:1116609
DOI10.1016/0898-1221(89)90090-4zbMath0666.62093OpenAlexW2069044405MaRDI QIDQ1116609
Publication date: 1989
Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0898-1221(89)90090-4
algorithmconditional expectations of the post sample observationsexact maximum likelihood estimatesforecasting discrete stock and flow dataGaussian innovationshigher order continuous time system
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
Related Items (2)
ECONOMETRIC THEORY MEMORIAL TO ALBERT REX BERGSTROM–INTRODUCTION ⋮ Forecasting discrete stock and flow data generated by a second order continuous time system
Cites Work
- A disequilibrium model of real and financial accumulation in an open economy. Theory, evidence, and policy simulations
- Optimal control in wide-sense stationary continuous-time stochastic models
- Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
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