论文标题
使用综合协方差的工具过程
Instrumental Processes Using Integrated Covariances
论文作者
论文摘要
在存在混杂的情况下，仪器变量方法通常用于参数估计。它们也可以应用于随机过程中。仪器变量分析利用力矩方程获得因果参数的估计器。我们表明，在随机过程中，人们可以使用集成协方差矩阵找到这种力矩方程。这提供了新的仪器变量方法，一系列连续时间过程中的仪器变量方法以及离散时间和连续时间过程的统一处理。
Instrumental variable methods are often used for parameter estimation in the presence of confounding. They can also be applied in stochastic processes. Instrumental variable analysis exploits moment equations to obtain estimators for causal parameters. We show that in stochastic processes one can find such moment equations using an integrated covariance matrix. This provides new instrumental variable methods, instrumental variable methods in a class of continuous-time processes as well as a unified treatment of discrete- and continuous-time processes.
