The problem of aliasing in identifying finite parameter continuous time stochastic models

DOI10.1023/A:1025858121378zbMath1030.62071OpenAlexW73130179MaRDI QIDQ1415502

J. Roderick McCrorie

Publication date: 4 December 2003

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1025858121378

zbMATH Keywords

identification problemtime series analysislikelihood functionaliasingvector autoregressive modelcontinuous time stochastic process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) System identification (93B30) Ordinary differential equations and systems with randomness (34F05) Inverse problems involving ordinary differential equations (34A55)

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