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A Note on Modelling Seasonal Processes in Continuous Time
Author(s) -
Chambers Marcus J.
Publication year - 1999
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/1467-9892.00129
Subject(s) - mathematics , stochastic differential equation , differential equation , differential (mechanical device) , order (exchange) , econometrics , mathematical analysis , economics , finance , engineering , aerospace engineering
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.