DERIVING THE EXACT DISCRETE ANALOG OF A CONTINUOUS TIME SYSTEM
DERIVING THE EXACT DISCRETE ANALOG OF A CONTINUOUS TIME SYSTEM
复制标题
导出连续时间系统的精确离散模拟
DOI：
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发表时间：
2000
影响因子：
0.8
通讯作者：
Roderick McCrorie
中科院分区：
文献类型：
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作者：
J.;Roderick McCrorie
用一种对离散观测数据本身不加限制的方法导出了线性随机微分方程组产生的等间距数据所满足的精确离散模型。该方法涉及集成的状态空间形式的连续时间模型的解决方案和三种类型的集成顺序的非标准变化，便于表示的精确离散模型作为一个渐近时不变的向量自回归移动平均模型。应用于状态空间形式的方法是通用的，并且使用Bergstrom（1986，Econometric Theory 2，350-373）讨论的混合存量和流量数据的原型高阶模型来说明。
The exact discrete model satisfied by equispaced data generated by a linear stochastic differential equations system is derived by a method that does not imply restrictions on observed discrete data per se. The method involves integrating the solution of the continuous time model in state space form and a nonstandard change in the order of three types of integration, facilitating the representation of the exact discrete model as an asymptotically time-invariant vector autoregressive moving average model. The method applying to the state space form is general and is illustrated using the prototypical higher order model for mixed stock and flow data discussed by Bergstrom (1986, Econometric Theory 2, 350–373).