An exact discrete analog of an open linear non-stationary first-order continuous-time system with mixed sample
type: Item
instance of: scholarly article
title: An exact discrete analog of an open linear non-stationary first-order continuous-time system with mixed sample
zbMATH Open document ID: 0668.62082
DOI: 10.1016/0304-4076(88)90057-7
author: Terence D. Agbeyegbe
published in: Journal of Econometrics
publication date: 1988-01-01T00:00:00Z
review text: This article deals with the derivation of an exact discrete model that corresponds to an open linear non-stationary first-order continuous-time system with mixed stock and flow data. This exact discrete model is (under appropriate additional conditions) a stationary autoregressive moving average time-series model and may allow one to obtain asymptotically efficient estimators of the parameters describing the continuous-time system.
Mathematics Subject Classification ID: 62P20
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 93E10
zbMATH DE Number: 4094643
zbMATH Keywords: exact discrete model
zbMATH Keywords: open linear non-stationary first-order continuous- time system
zbMATH Keywords: mixed stock and flow data
zbMATH Keywords: stationary autoregressive moving average time-series model
zbMATH Keywords: asymptotically efficient estimators
MaRDI profile type: Publication
full work available at URL: 0304-4076(88)90057-7
OpenAlex ID: W2004455289
cites work: Gaussian Estimation of Structural Parameters in Higher Order Continuous Time Dynamic Models
cites work: Q3719692
cites work: The Estimation of Some Continuous Time Models
cites work: Q4130827
cites work: Q5531487
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description: scientific article; zbMATH DE number 4094643