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Keyword: exact discrete model;
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J R McCrorie
We present a method of deriving the exact discrete model satisfied by equispaced data generated by a system of linear stochastic differential equations without implying the usual restrictions on observed discrete data th...Read more...
December 1997
As the exact discrete model induced by an open continuous time system depends on the continous time paths of the exogenous variables, these need to be interpolated for the purpose of estimation. We examine some recently ...Read more...