Model fitting for continuous-time stationary processes from discrete-time data

DOI10.1016/0047-259X(92)90057-MzbMath0757.62049MaRDI QIDQ1186773

Elias Masry, Keh-Shin Lii

Publication date: 28 June 1992

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

zbMATH Keywords

consistencyasymptotic normalitycentral limit theoremdiscrete-time observationsmodel fittingcontinuous-time stationary processstationary point process

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Inference from stochastic processes and spectral analysis (62M15)

Related Items

Spectral estimation of continuous-time stationary processes from random sampling, ESTIMATING CONTINUOUS-TIME MODELS ON THE BASIS OF DISCRETE DATA VIA AN EXACT DISCRETE ANALOG, Modelling and parameter estimation for discretely observed fractional iterated Ornstein-Uhlenbeck processes, Inheritance of strong mixing and weak dependence under renewal sampling, Estimation of second-order properties from jittered time series

Cites Work

• Discrete-time spectral estimation of continuous-time processes The orthogonal series method
• Estimation of a time series model from unequally spaced data
• Alternative models for stationary stochastic processes
• Estimation and information in stationary time series
• Poisson sampling and spectral estimation of continuous-time processes
• Alias-free sampling: An alternative conceptualization and its applications
• Non-parametric covariance estimation from irregularly-spaced data
• Alias-Free Sampling of Random Noise
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