ON POSSIBILITIES FOR ESTIMATING CONTINUOUS-TIME ARMA PARAMETERS

摘要

The problem of estimating the parameters in continuous-time ARMA processes from discrete-time data is considered. Three different approaches, based on the prediction error method, the instrumental variable method and an approximate maximum likelihood method, respectively, are studied. All three techniques provide reliable solutions to the estimation problem. A general discussion of the inherent difficulties of the problem is given together with an extensive numerical study.