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Abstract:

Econometrics Paper
ON DISCRETE SAMPLING OF TIME-VARYING CONTINUOUS-TIME SYSTEMS
Peter Robinson
June 2007
Paper No' EM/2007/520:
Full Paper (pdf)

JEL Classification: C32


Tags: stochastic differential equations; time-varying coefficients; discrete sampling; irregular sampling.

We consider a multivariate continuous time process, generated by a system of linear stochastic differential equations, driven by white noise and involving coefficients that possibly vary over time. The process is observable only at discrete, but not necessarily equally-spaced, time points (though equal spacing significantly simplifies matters). Such settings represent partial extensions of ones studied extensively by A.R. Bergstrom. A model for the observed time series is deduced. Initially we focus on a first-order model, but higher-order ones are discussed in case of equally-spaced observations. Some discussion of issues of statistical inference is included.