Continuous Time ARMA Processes : Discrete Time Representation and Likelihood Evaluation

Thornton, Michael Alan orcid.org/0000-0002-4470-809X and Chambers, Marcus (2017) Continuous Time ARMA Processes : Discrete Time Representation and Likelihood Evaluation. Journal of Economic Dynamics and Control. pp. 48-65. ISSN 0165-1889

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Copyright, Publisher and Additional Information: © Elsevier, 2017. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy.
Keywords: continuous time,ARMA process,state space,discrete time representation ,mixed frequency
Dates:
  • Published (online): 31 March 2017
Institution: The University of York
Academic Units: The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York)
Depositing User: Pure (York)
Date Deposited: 05 Apr 2017 10:40
Last Modified: 31 May 2020 11:05
Published Version: https://doi.org/10.1016/j.jedc.2017.03.012
Status: Published online
Refereed: Yes
Identification Number: https://doi.org/10.1016/j.jedc.2017.03.012

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