Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data

Thornton, Michael Alan orcid.org/0000-0002-4470-809X (2019) Exact Discrete Representations of Linear Continuous Time Models with Mixed Frequency Data. Journal of Time Series Analysis. 5. pp. 951-967. ISSN 1467-9892

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Copyright, Publisher and Additional Information: © 2019 John Wiley & Sons Ltd. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details.
Keywords: Time aggregation,CARMA process,mixed frequency,State space model,exact discrete representation,the exact discrete representation,state space,Applied Mathematics,Statistics and Probability,Statistics, Probability and Uncertainty
Dates:
  • Accepted: 3 April 2019
  • Published (online): 6 May 2019
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: 09 Apr 2019 13:00
Last Modified: 26 May 2020 23:17
Published Version: https://doi.org/10.1111/jtsa.12471
Status: Published online
Refereed: Yes
Identification Number: https://doi.org/10.1111/jtsa.12471
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