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Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions

M. Kessler (mathieu.kessler@upct.es) and Anders Rahbek

Statistical Inference for Stochastic Processes, 2004, vol. 7, issue 2, 137-151

Keywords: diffusion processes; cointegration; continuous time; identification; matrix exponential (search for similar items in EconPapers)
Date: 2004
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Citations: View citations in EconPapers (11)

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DOI: 10.1023/B:SISP.0000026044.28647.56

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