The Federal Reserve Board eagle logo links to home page
Finance and Economics Discussion Series
The Finance and Economics Discussion Series logo links to FEDS home page On Identification of Continuous Time Stochastic Processes
Jeremy Berkowitz
2000-7


Abstract: In this note we delineate conditions under which continuous time stochastic processes can be identified from discrete data. The identification problem is approached in a novel way. The distribution of the observed stochastic process is expressed as the underlying true distribution, f, transformed by some operator, T. Using a generalization of the Taylor series expansion, the transformed function T f can often be expressed as a linear combination of the original function f. By combining the information across a large number of such transformations, the original measurable function of interest can be recovered.

Keywords: Identification, continuous

Full paper (92 KB PDF)


Home | FEDS | List of 2000 FEDS papers
Accessibility
To comment on this site, please fill out our feedback form.
Last update: March 6, 2000