Peter Robinson

Published June 2007

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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.