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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DOI: 10.1023/B:SISP.0000026044.28647.56
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