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Focusing on the translation of discrete-time linear ARMA processes to continuous-time models, this monograph addresses the gap in standard treatments regarding adaptation techniques. It simplifies the understanding of economic models while exploring nonlinearities. The concluding section compiles key formulas for easy reference. A foundational knowledge of discrete-time time-series and continuous-time representations is assumed, making it suitable for readers familiar with these concepts.
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Continuous-Time Linear Models, John Cochrane
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- Released
- 2012
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- (Paperback)
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