scholarly journals Continuous time ARMA processes: Discrete time representation and likelihood evaluation

2017 ◽  
Vol 79 ◽  
pp. 48-65 ◽  
Author(s):  
Michael A. Thornton ◽  
Marcus J. Chambers
Keyword(s):  
Discrete Time ◽  
Continuous Time ◽  
Time Representation ◽  
Arma Processes

scholarly journals DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES

2011 ◽  
Vol 28 (1) ◽  
pp. 219-238 ◽  
Author(s):  
Marcus J. Chambers ◽  
Michael A. Thornton
Keyword(s):  
Discrete Time ◽  
Continuous Time ◽  
Moving Average ◽  
Autoregressive Moving Average ◽  
Time System ◽  
Time Model ◽  
Time Representation ◽  
Sunspot Data ◽  
Mixed Stock ◽  
Continuous Time System

This paper derives exact discrete time representations for data generated by a continuous time autoregressive moving average (ARMA) system with mixed stock and flow data. The representations for systems comprised entirely of stocks or of flows are also given. In each case the discrete time representations are shown to be of ARMA form, the orders depending on those of the continuous time system. Three examples and applications are also provided, two of which concern the stationary ARMA(2, 1) model with stock variables (with applications to sunspot data and a short-term interest rate) and one concerning the nonstationary ARMA(2, 1) model with a flow variable (with an application to U.S. nondurable consumers’ expenditure). In all three examples the presence of an MA(1) component in the continuous time system has a dramatic impact on eradicating unaccounted-for serial correlation that is present in the discrete time version of the ARMA(2, 0) specification, even though the form of the discrete time model is ARMA(2, 1) for both models.

Design of Programmable Wideband Low Pass Filter with Continuous-Time/Discrete-Time Hybrid Architecture

2017 ◽  
Vol E100.C (10) ◽  
pp. 858-865 ◽  
Author(s):  
Yohei MORISHITA ◽  
Koichi MIZUNO ◽  
Junji SATO ◽  
Koji TAKINAMI ◽  
Kazuaki TAKAHASHI
Keyword(s):  
Discrete Time ◽  
Continuous Time ◽  
Hybrid Architecture ◽  
Pass Filter ◽  
Low Pass Filter ◽  
Low Pass
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