English, Article edition: ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS Robinson, Peter M.

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Bookmark: http://trove.nla.gov.au/version/6651
Physical Description
  • article
Language
  • English

Edition details

Title
  • ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
Author
  • Robinson, Peter M.
Physical Description
  • article
Notes
  • We consider a multivariate continuous-time process, generated by a system of linear stochastic differential equations, driven by white noise, and involving coefficients that possibly vary over time. The process is observable only at discrete, but not necessarily equally-spaced, time points (though equal spacing significantly simplifies matters). Such settings represent partial extensions of ones studied extensively by A.R. Bergstrom. A model for the observed time series is deduced. Initially we focus on a first-order model, but higher-order models are discussed in the case of equally-spaced observations. Some discussion of issues of statistical inference is included.
  • RePEc:cup:etheor:v:25:y:2009:i:04:p:985-994_09
Language
  • English
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