Identification and Inference for Multivariate Cointegrated and Ergodic Gaussian Diffusions
Year of publication: |
2004
|
---|---|
Authors: | Kessler, M. ; Rahbek, A. |
Published in: |
Statistical Inference for Stochastic Processes. - Springer. - Vol. 7.2004, 2, p. 137-151
|
Publisher: |
Springer |
Subject: | diffusion processes | cointegration | continuous time | identification | matrix exponential |
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