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Analytical Score Function for Irregularly Sampled Continuous Time Stochastic Processes with Control Variables and Missing Values

Published online by Cambridge University Press:  11 February 2009

Hermann Singer
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Abstract

The unknown structural parameters of a continuous/discrete state space model are estimated by maximum likelihood in the presence of irregular sampling, missing values, and cross-sections of time series (panel data). Exogenous (control) variables are included, and the sampling scheme and missing data pattern can be different for each variable and system. Furthermore, the derived non-linear optimization algorithm with analytical score function can be used for the discrete time case as well.

Type
Research Article
Information
Econometric Theory , Volume 11 , Issue 4 , August 1995 , pp. 721 - 735
Copyright
Copyright © Cambridge University Press 1995

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