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Temporal Aggregation of Stationary and Non-stationary Continuous-Time Processes

โœ Scribed by HENGHSIU TSAI; K. S. CHAN

Book ID
111755400
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
168 KB
Volume
32
Category
Article
ISSN
0303-6898

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Discrete time representation of stationa
Discrete time representation of stationary and non-stationary continuous time systems
โœ Marcus J. Chambers ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 168 KB

This paper derives the formulae for an exact discrete time representation corresponding to a system of higher-order stochastic differential equations. The formulae are applicable in stationary, non-stationary and explosive systems and for data observed as a mixture of both stock and flow variables.