Linear completeness in a continuous time Gauss–Markov model

This work provides further contribution to the linear properties in a continuous time linear model. We deal with linear sufficiency and linear completeness properties, together with the linear admissibility property. These concepts were originally introduced and characterized in a discrete time context and subsequently were extended by the authors of the present paper to a continuous time linear model. Our objective is to study in depth these properties showing a general unified context where the classical linear model appears as a particular case.

Identifying Restrictions for Finite Parameter Continuous Time Models with Discrete Time Data

This article focuses on production planning in the metallurgical sector. This study undertakes a detailed comparative study of mixed-integer linear programming models using different time representations: continuous and discrete. The analysis shows that the continuous model consistently outperforms its discrete counterpart in all evaluated scenarios. The key difference between the continuous and discrete models is the continuous model’s ability to deliver better makespan results, achieving an improvement of up to 15% compared to the discrete model. This advantage holds even in complex environments with a high number of tasks and machines, where the continuous model consistently outperforms the discrete model by over 6% in the scenario with the highest number of tasks and machines. This preference extends beyond makespan considerations. The continuous model also maintains an edge in terms of runtime efficiency, achieving better times with a 99% improvement over the discrete model in all scenarios except one. These findings provide concrete evidence for the use of continuous models, which promise more effective production planning in analogous manufacturing domains.

On the Consistency of the Lucas Pricing Formula

American Option Pricing with Discrete and Continuous Time Models: An Empirical Comparison

In Chapter VI we treated the problem of signal detection with continuous-time observations. In this chapter we consider the problem of signal estimation in continuous time. We treat three basic problems: parameter estimation for signals of known form (up to a set of unknown parameters) observed in additive Gaussian noise; linear/Gaussian estimation in which either we assume that the signals and noise of interest are Gaussian processes or we restrict attention to linear estimators; and nonlinear filtering, in which we derive estimators for non-Gaussian random signals generated by nonlinear differential equations when observed in additive Gaussian noise. In all cases, we consider primarily the case of white Gaussian noise, although as we have seen in Chapter VI, other Gaussian noise models can be transformed to this model, so that these results are more general.KeywordsExtended Kalman FilterWiener ProcessConditional VarianceConditional DensityAdditive Gaussian NoiseThese keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

Limitations record on a variable which have continuous variable changes make the 'time' attached to the data is discrete. That underlies development of continuous time model. Compared to discrete time model, the continuous time model has advantages that can make prediction at different lag. In addition, it still can perform continuous time model parameter estimation, although the objects observations do not always have the same time interval (irregular time). Thus, the purpose of this study is to examine the consistency of continuous time model coefficient parameter with structural equation model (SEM) approach in irregular time data. The method used is the Exact Discrete Model (EDM) with SEM approach. EDM is a model that connects the parameter to value which is underlying parameter of the continuous time model with non-linear relationships. The result analysis of the research indicated that the coefficients of continuous time model parameter are still consistent until 20% of irregular time with 5% consistency limits.

On Sampling and Reconstruction of Continuous Time Stochastic Systems

On the Bhattacharyya distance and the divergence between Gaussian processes

Beside the wide success of discrete time models in system identification, some advantages of continuous time models have also been acknowledged, in particular, the ability of fully benefiting from fast sampling devices. This paper proposes a continuous time black-box model structure for nonlinear system identification, together with an efficient model estimation method. This model structure belongs to the class of continuous time nonlinear ARX (AutoRegressive with eXogenous input) models, with the particularity of being integrable. By applying techniques of adaptive observer, models of the proposed structure can be efficiently estimated from input-output data, without requiring computing the time derivatives of the data. The proposed model structure and estimation method are illustrated through the identification of a magneto-rheological fluid damper system.

The Euro/Dollar exchange rate: Chaotic or non-chaotic? A continuous time model with heterogeneous beliefs

A Presentation of the Italian Continuous Time Model

Many important factors affect the spread of childhood infectious disease. To better understand the fundamental drivers of infectious disease spread, several researchers have estimated seasonal transmission coefficients in discrete-time models. In this paper, we build upon this previous work and also develop a framework for efficient estimation using continuous differential equation models. We introduce nonlinear programming formulations to efficiently estimate model parameters and seasonal transmission profiles from existing case count data for the childhood disease, measles. We compare results from discrete time and continuous time models and address several shortcomings of the discrete-time method, including removing the need for the data reporting interval to match the time between successive cases in the chain of transmission or serial interval of the disease. Using a simultaneous approach for optimization of differential equation systems, we demonstrate that seasonal transmission parameters can be effectively estimated using continuous time models instead of discrete-time models.

In this chapter we review continuous time series modeling and estimation by extended structural equation models (SEM) for single subjects and N > 1. First-order as well as higher-order models will be dealt with. Both will be handled by the general state space approach which reformulates higher-order models as first-order models. In addition to the basic model, the extensions of exogenous variables and traits (random intercepts) will be introduced. The connection between continuous time and discrete time for estimating the model by SEM will be made by the exact discrete model (EDM). It is by the EDM that the exact estimation procedure in this chapter differentiates from many approximate procedures found in the literature. The proposed analysis procedure will be applied to the well-known Wolfer sunspot data, an N = 1 time series that has been analyzed by several continuous time analysts in the past. The analysis will be carried out by ctsem, an R-package for continuous time modeling that interfaces to OpenMx, and the results will be compared to those reported in the previous studies.

This note exposits the problem of aliasing in identifying finite parameter continuous time stochastic models, including econometric models, on the basis of discrete data. The identification problem for continuous time vector autoregressive models is characterised as an inverse problem involving a certain block triangular matrix, facilitating the derivation of an improved sufficient condition for the restrictions the parameters must satisfy in order that they be identified on the basis of equispaced discrete data. Sufficient conditions already exist in the literature but these conditions are not sharp and rule out plausible time series behaviour.