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Oversampling of stochastic processes

Author

Listed:
  • D.S.G. Pollock

    (University of Leicester)

Abstract

Discrete-time ARMA processes can be placed in a one-to-one correspondence with a set of continuous-time processes that are bounded in frequency by the Nyquist value of ð radians per sample period. It is well known that, if data are sampled from a continuous process of which the maximum frequency exceeds the Nyquist value, then there will be a problem of aliasing. However, if the sampling is too rapid, then other problems will arise that will cause the ARMA estimates to be severely biased. The paper reveals the nature of these problems and it shows how they may be overcome.

Suggested Citation

  • D.S.G. Pollock, 2010. "Oversampling of stochastic processes," Working Papers 44, Department of Applied Econometrics, Warsaw School of Economics.
    • Handle: RePEc:wse:wpaper:44
    as

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    References listed on IDEAS

    as
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    5. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1.
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    More about this item

    Keywords

    Stochastic Differential Equations; Band-Limited Stochastic Processes; Oversampling;
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