Continuous time regressions with discrete data

DOI10.1214/aos/1176343131zbMath0305.62042OpenAlexW1533979714MaRDI QIDQ1217432

Peter M. Robinson

Publication date: 1975

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176343131

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Linear regression; mixed models (62J05) Inference from stochastic processes and spectral analysis (62M15) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38)

Related Items (3)

On the errors-in-variables problem for time series ⋮ Estimating the quadratic covariation matrix for asynchronously observed high frequency stock returns corrupted by additive measurement error ⋮ The problem of identification in finite parameter continuous time models

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