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Temporal Aggregation of Stationary And Nonstationary Discrete-Time Processes

โœ Scribed by Henghsiu Tsai; K. S. Chan


Book ID
111039936
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
144 KB
Volume
26
Category
Article
ISSN
0143-9782

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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.