By the same authors

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

Research output: Working paper

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Publication details

DateUnpublished - 2013
Original languageEnglish

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.

    Research areas

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

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