Estimation of a time series model from unequally spaced data

P. M. Robinson

Stochastic Processes and their Applications, 1977, vol. 6, issue 1, 9-24

Abstract: A process generated by a stochastic differential equation driven by pure noise is sampled at irregular intervals. A model for the sampled sequence is deduced. We describe a maximum likelihood procedure for estimating the parameters and establish the strong consistency and asymptotic normality of the estimates. The use of the model in prediction is considered. Simplifications in the case of periodic sampling are explored.

Date: 1977
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