ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
نویسندگان
چکیده
منابع مشابه
On Discrete Sampling of Time-varying Continuous-time Systems
. We consider a multivariate continuous time process, generated by a system of linear stochastic di¤erential equations, driven by white noise and involving coe¢ cients that possibly vary over time. The process is observable only at discrete, but not necessarily equally-spaced, time points (though equal spacing signi cantly simpli es matters). Such settings represent partial extensions of ones s...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2009
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466608090373