Continuous-time Gaussian autoregression

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Bayesian interpolation of unequally spaced time series (2015, methodology): “Detailed reviews of the issue appeared in Harvey and Stock (1993) and Brockwell et al. (2007). Within the latter approach there are deterministic interpolation methods (summarised in Adorf (1995)), or stochastic interpolation methods, the most popular method was the linear interpolation with a stand”
Recent results in the theory and applications of CARMA processes (2014, methodology): “For closely-spaced data Brockwell et al. (2007b) developed an estimation technique based on the exact likelihood of the continuous time process conditional on the initial state-vector, approximating the stochastic integrals which appear in the maximum likelihood parameter estimators by…”