Valderrama, Mariano; Ortega-Moreno, Mónica; González, … - In: Computational Statistics 18 (2003) 3, pp. 533-546
By approximating a stochastic process by means of spline interpolation of its sample-paths, a time dependent state-space model is introduced. Then we derive the expression of the associated transition matrix that allows to obtain a discrete model useful in applications. In order to essay the...