DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
From MaRDI portal
Publication:3224042
DOI10.1017/S0266466611000181zbMath1234.62118OpenAlexW2161058936MaRDI QIDQ3224042
Michael A. Thornton, Marcus J. Chambers
Publication date: 29 March 2012
Published in: Econometric Theory (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/s0266466611000181
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)
Related Items (11)
Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data ⋮ Continuous time ARMA processes: discrete time representation and likelihood evaluation ⋮ Cointegrated continuous-time linear state-space and MCARMA models ⋮ Semi-Lévy-driven CARMA process: estimation and prediction ⋮ Continuous‐time autoregressive moving average processes in discrete time: representation and embeddability ⋮ A spectral EM algorithm for dynamic factor models ⋮ Factorization and discrete-time representation of multivariate CARMA processes ⋮ The estimation of continuous time models with mixed frequency data ⋮ Quasi-maximum likelihood estimation for cointegrated continuous-time linear state space models observed at low frequencies ⋮ Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data ⋮ MULTIVARIATE AR SYSTEMS AND MIXED FREQUENCY DATA: G-IDENTIFIABILITY AND ESTIMATION
Cites Work
- Unnamed Item
- Continuous time autoregressive models with common stochastic trends
- Discrete time representation of stationary and non-stationary continuous time systems
- DISCRETE TIME REPRESENTATIONS OF COINTEGRATED CONTINUOUS TIME MODELS WITH MIXED SAMPLE DATA
- Note on the Correlation of First Differences of Averages in a Random Chain
- Maximum Likelihood and Gaussian Estimation of Continuous Time Models in Finance
- Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
- Modeling of Continuous Stochastic Processes from Discrete Observations with Application to Sunspots Data
- Representations of continuous-time ARMA processes
- Individual Income, Incomplete Information, and Aggregate Consumption
- Error Correction and Long-Run Equilibrium in Continuous Time
- The Interaction Between Time-Nonseparable Preferences and Time Aggregation
- An equilibrium characterization of the term structure
- Lévy-driven CARMA processes
This page was built for publication: DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
