Continuous-time autoregressive moving average processes in discrete time: representation and embeddability
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- Chambers, Marcus J., 2009. "Discrete Time Representations Of Cointegrated Continuous Time Models With Mixed Sample Data," Econometric Theory, Cambridge University Press, vol. 25(04), pages 1030-1049, August.
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- McCrorie, J. Roderick, 2000. "Deriving The Exact Discrete Analog Of A Continuous Time System," Econometric Theory, Cambridge University Press, vol. 16(06), pages 998-1015, December.
- Chambers, Marcus J. & Thornton, Michael A., 2012. "Discrete Time Representation Of Continuous Time Arma Processes," Econometric Theory, Cambridge University Press, vol. 28(01), pages 219-238, February.
- Chambers, Marcus J., 1999. "Discrete time representation of stationary and non-stationary continuous time systems," Journal of Economic Dynamics and Control, Elsevier, vol. 23(4), pages 619-639, February.
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Neil Kellard & Denise Osborn & Jerry Coakley & Marcus J. Chambers, 2015. "Testing for a Unit Root in a Near-Integrated Model with Skip-Sampled Data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(5), pages 630-649, September.
- P. Brockwell, 2014. "Recent results in the theory and applications of CARMA processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(4), pages 647-685, August.
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