Discrete-time linear ARMA processes and lag operator notation are convenient for lots of calculations. Continuous-time representations often simplify economic models, and can handle interesting nonlinearities as well. But standard treatments of continuous-time processes typically don't mention how to adapt the discrete-time linear model concepts and lag operator methods to continuous time.
Continuous-Time Linear Models attempts that translation and exposits the techniques to make the translation from familiar discrete-time ideas. The concluding section of this monograph collects the important formulas in one place. The author assumes a basic knowledge of discrete-time time-series representation methods and continuous-time representations.
- ISBN13 9781601985866
- Publish Date 19 November 2012
- Publish Status Active
- Publish Country US
- Imprint now publishers Inc
- Format Paperback
- Pages 72
- Language English
- URL https://nowpublishers.com/article/Details/FIN-037