A message from our CEO about the future of Stack Overflow and Stack Exchange. Read now.

# Questions tagged [continuous-time]

The tag has no usage guidance.

12 questions
Filter by
Sorted by
Tagged with
146 views

63 views

### Derivation Harvey (1984) Logistic Curve

Given a logistic function of the form. \begin{align*} f(t) = \frac{\alpha}{1 + \beta e^{\gamma t}} \end{align*} Harvey (1984) differentiates this and takes logs to yield: \begin{align*} \ln f' = 2 ...
16 views

### Can the interarrival times of a continuous time markov chain be distributed with 2 parameter (scale,location) exponential distributions?

I'm trying to model data with a time-homogenous CTMC with a number of states with corresponding constant transition rates $\lambda_{i}$ when I notice that much of the transition times from one state ...
43 views

### Correspondence between time series models in continuous vs. discrete time

I am interested in an overview over the connection and correspondence between time series models in continuous vs. discrete time in finance. E.g. take ARMA(p,q) or GARCH(s,r) or ARMA(p,q)-GARCH(s,r) ...
61 views

### Correlation of continuous-time series

I have two continuous time series of discrete events. The data from them are timestamps of occurences, e.g. ...
72 views

### Simulating a (discretized) Cox process via binomial sampling

Let X be a Cox process (doubly-stochastic Poisson process) driven by a Poisson process with fixed intensity(rate) $\lambda=50$ , and choose some small time interval $dt=0.01$ . Is the proper way to ...
781 views

### Linear mixed model: Time as continuous or discrete variable?

I am analysing a dataset from a randomised controlled trial (2 treatment groups) with measurements at 3 time points (weeks 0, 1 and 8). I am struggling with whether to analyse this with the three time ...
8 views

### Modeling unequally spaced time series as OU process

I have a time series wherein the data points are unevenly spaced. I read this can be modeled as discrete time observation from a continuous time process. So I am trying to model it as an Ornstein-...
I have a continuous variable, $P_t$ whose evolution is unknown. However, I obtain a history of it i.e. $P_0, P_{dt}, P_{2dt}, ...... , P_T$. For a continuous process variable, I know that the rate of ...
I have an irreducible continuous-time Markov chain (CTMC) with a finite state space. The CTMC also does not have any one-step transitions from any state to itself. I have the transition rate matrix $Q$...