Estimation of a time series model from unequally spaced data
A process generated by a stochastic differential equation driven by pure noise is sampled at irregular intervals. A model for the sampled sequence is deduced. We describe a maximum likelihood procedure for estimating the parameters and establish the strong consistency and asymptotic normality of the estimates. The use of the model in prediction is considered. Simplifications in the case of periodic sampling are explored.
Volume (Year): 6 (1977)
Issue (Month): 1 (November)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:6:y:1977:i:1:p:9-24. 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: (Shamier, Wendy)
If references are entirely missing, you can add them using this form.