The dimensionality of the aliasing problem in models with rational spectral densities
By: Lars Peter Hansen and Thomas J. Sargent.
Contributors: Sargent, Thomas J.
Series: Federal Reserve Bank of Minneapolis, Research Department staff report -- 72; Staff report (Federal Reserve Bank of Minneapolis. Research Dept. : Online) -- 72.
Publisher: Federal Reserve Bank of Minneapolis
Published: 1981
Place of publication: [Minneapolis, Minn.]
Language: eng
Format: Electronic resource
Subjects: Stochastic analysis.; Time-series analysis.
Description: "This paper reconsiders the aliasing problem of identifying the parameters of a continuous time stochastic process from discrete time data.  It analyzes the extent to which restricting attention to processes with rational spectral density matrices reduces the number of observationally equivalent models.  It focuses on rational specifications of spectral density matrices since rational parameterizations are commonly employed in the analysis of the time series data"--Federal Reserve Bank of Minneapolis web site.
Notes: Title from PDF file as viewed on 10/19/2007.

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