Corrigendum and Extendendum to Discrete Time Representation of Continuous Time ARMA Processes.

Michael Alan Thornton, Marcus Chambers

Research output: Working paper

Abstract

This paper corrects a flaw in the derivation of the exact discrete time representations for data generated by a continuous time ARMA (autoregressive moving average) system with mixed stock and flow data. In correcting the procedure, we demonstrate that the representations proposed initially by Bergstrom (1986), and later generalised by Chambers (1999), are members of a class of observationally equivalent discrete time ARMA representations. We discuss the merits of different members of the class in estimation.
Original languageEnglish
Publication statusUnpublished - 2013

Keywords

  • Continuous time; ARMA process; state space; discrete time representation.

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