Continuous time Brownian motion models for analysis of sequential data
The paper discusses techniques for analysis of sequential data from variable processes, particularly techniques that can be used even when the data are not equally spaced in time. The techniques are based on models which use continuous time Brownian motion and its integrals to describe the pattern of variation in an underlying physical process and use white noise to describe variation due to measurement processes. The paper concentrates on making statements about what has been happening in the region that is covered by the data rather than on making predictions about regions that are far from the data. It is argued that the continuous time integrated Brownian motion plus white noise model is always preferable to its discrete time analogue: the local linear trend model. Further integrals of Brownian motion can be fitted as an alternative to using splines. All of these continuous time Brownian motion models can be fitted to data that are associated with a time interval (interval data) as well as to data that are associated with a single time (spot data). They can be fitted by using mixed model methodology as well as by using Kalman filtering and smoothing. Copyright (c) 2010 Royal Statistical Society.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 59 (2010)
Issue (Month): 3 ()
|Contact details of provider:|| Postal: |
Web page: http://wileyonlinelibrary.com/journal/rssc
More information through EDIRC
|Order Information:||Web: http://ordering.onlinelibrary.wiley.com/subs.asp?ref=1467-9876&doi=10.1111/(ISSN)1467-9876|
When requesting a correction, please mention this item's handle: RePEc:bla:jorssc:v:59:y:2010:i:3:p:477-494. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.