IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v6y1977i1p9-24.html
   My bibliography  Save this article

Estimation of a time series model from unequally spaced data

Author

Listed:
  • Robinson, P. M.

Abstract

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.

Suggested Citation

  • Robinson, P. M., 1977. "Estimation of a time series model from unequally spaced data," Stochastic Processes and their Applications, Elsevier, vol. 6(1), pages 9-24, November.
  • Handle: RePEc:eee:spapps:v:6:y:1977:i:1:p:9-24
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/0304-4149(77)90013-8
    Download Restriction: Full text for ScienceDirect subscribers only

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Massimiliano Marcellino & Oscar Jorda, "undated". "Stochastic Processes Subject to Time-Scale Transformations: An Application to High-Frequency FX Data," Working Papers 164, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    2. Peter M Robinson, 2009. "Correlation Testing in Time Series, SpatialandCross-Sectional Data," STICERD - Econometrics Paper Series 530, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    3. Miguel A. Delgado & Peter M Robinson, 2013. "Non-Nested Testing of Spatial Correlation," STICERD - Econometrics Paper Series 568, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    4. Robinson, P.M., 2008. "Correlation testing in time series, spatial and cross-sectional data," Journal of Econometrics, Elsevier, vol. 147(1), pages 5-16, November.
    5. Robinson, Peter, 2008. "Correlation testing in time series, spatial and cross-sectional data," LSE Research Online Documents on Economics 25470, London School of Economics and Political Science, LSE Library.
    6. Vilar, José A. & Vilar, Juan M., 2000. "Finite sample performance of density estimators from unequally spaced data," Statistics & Probability Letters, Elsevier, vol. 50(1), pages 63-73, October.
    7. Josué M. Polanco-Martínez, 2014. "Estimación espectral de datos ambientales no equiespaciados vía el periodograma suavizado de Lomb-Scargle. Una breve revisión," Analítika, Analítika - Revista de Análisis Estadístico/Journal of Statistical Analysis, vol. 8(2), pages 7-23, Diciembre.
    8. Peter Robinson, 2007. "Correlation testing in time series, spatial and cross-sectional data," CeMMAP working papers CWP01/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    9. Robinson, P.M., 2011. "Asymptotic theory for nonparametric regression with spatial data," Journal of Econometrics, Elsevier, vol. 165(1), pages 5-19.
    10. Yacine Ait--Sahalia & Per A. Mykland, 2003. "The Effects of Random and Discrete Sampling when Estimating Continuous--Time Diffusions," Econometrica, Econometric Society, vol. 71(2), pages 483-549, March.
    11. Robinson, Peter, 2007. "On discrete sampling of time-varying continuous-time systems," LSE Research Online Documents on Economics 6795, London School of Economics and Political Science, LSE Library.
    12. repec:cep:stiecm:/2013/568 is not listed on IDEAS
    13. Delgado, Miguel A. & Robinson, Peter M., 2013. "Non-nested testing of spatial correlation," LSE Research Online Documents on Economics 58169, London School of Economics and Political Science, LSE Library.
    14. Peter Robinson, 2007. "On Discrete Sampling Of Time-Varyingcontinuous-Time Systems," STICERD - Econometrics Paper Series 520, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    15. Delgado, Miguel A. & Robinson, Peter, 2015. "Non-nested testing of spatial correlation," LSE Research Online Documents on Economics 61433, London School of Economics and Political Science, LSE Library.
    16. Delgado, Miguel A. & Robinson, Peter M., 2015. "Non-nested testing of spatial correlation," Journal of Econometrics, Elsevier, vol. 187(1), pages 385-401.
    17. P. Thomson, 1992. "Signal estimation using stochastic velocity models and irregular arrays," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 44(1), pages 13-25, March.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.