discrete process into continous process

ans

2015 10 14

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4 次查看（30 天）

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hello everyone,

I want to convert a discrete process into continous process. I've got the realizations and the transition matrix (both generated using the tauchen's method,therefore, I already know the value of the standar desviation and the correlation coeficient named "delta"):

for example:

My process:

y(t) = (delta)y(t-1) + e(t) (1)

How can i obtain the value of delta in matlab? (if I only know the functional form of (1) and the transition matrix & realizations).

Greetings!