A Note on Modelling Seasonal Processes in Continuous Time

Marcus Chambers

Journal of Time Series Analysis, 1999, vol. 20, issue 2, 139-143

Abstract: It is shown that stochastic differential equations are capable of handling stationary seasonal processes but not processes that are integrated of order 1 at frequency π. Such seasonally integrated processes can be modelled in continuous time but require the use of mixed differential‐‐difference equations.

Date: 1999
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