TY  - BOOK
AU  - Robinson,Peter M.
TI  - On discrete sampling of time-varying continuous-time systems
AV  - HB139.T52 ECO 
PY  - 2009///
CY  - Cambridge
PB  - Cambridge University Press
KW  - Stochastic process
N2  - We consider a multivariate continuous-time process, generated by a system of linear stochastic differential equations, driven by white noise, and involving coefficients that possibly vary over time. The process is observable only at discrete, but not necessarily equally-spaced, time points (though equal spacing significantly simplifies matters). Such settings represent partial extensions of ones studied extensively by A.R. Bergstrom. A model for the observed time series is deduced. Initially we focus on a first-order model, but higher-order models are discussed in the case of equally-spaced observations. Some discussion of issues of statistical inference is included
UR  - 10.1017/S0266466608090373
ER  -