IDEAS home Printed from https://ideas.repec.org/p/lec/leecon/11-14.html
   My bibliography  Save this paper

The Discrete–Continuous Correspondence for Frequency-Limited Arma Models and the Hazards of Oversampling

Author

Listed:
  • David Stephen Pollock

    ()

Abstract

Discrete-time ARMA processes can be placed in a one-to-one correspondence with a set of continuous-time processes that are bounded in frequency by the Nyquist value of ? radians per sample period. It is well known that, if data are sampled from a continuous process of which the maximum frequency exceeds the Nyquist value, then there will be a problem of aliasing. However, if the sampling is too rapid, then other problems will arise that will cause the ARMA estimates to be severely biased. The paper reveals the nature of these problems and it shows how they may be overcome. It is argued that the estimation of macroeconomic processes may be compromised by a failure to take account of their limits in frequency.

Suggested Citation

  • David Stephen Pollock, 2011. "The Discrete–Continuous Correspondence for Frequency-Limited Arma Models and the Hazards of Oversampling," Discussion Papers in Economics 11/14, Department of Economics, University of Leicester.
  • Handle: RePEc:lec:leecon:11/14
    as

    Download full text from publisher

    File URL: http://www.le.ac.uk/economics/research/repec/lec/leecon/dp11-14.pdf
    Download Restriction: no

    More about this item

    Keywords

    Stochastic Differential Equations; Band-Limited Stochastic Processes; Oversampling;

    NEP fields

    This paper has been announced in the following NEP Reports:

    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:lec:leecon:11/14. 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: (Mrs. Alexandra Mazzuoccolo). General contact details of provider: http://edirc.repec.org/data/deleiuk.html .

    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.