If a discrete-time autogressive AR(p) model is fit to data x at t=1,2,..., what is the probability distributiom of x at time n+h, denoted x(n+h), where 0 < h < 1 and x(n) and x(n+1) are known?
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What do you think about my answer? If it is helpful and clear, you may upvote and accept it by clicking on the tick mark to the left. Otherwise, you may ask for further clarification. This is [how Cross Validated works](https://stats.stackexchange.com/tour). – Richard Hardy Apr 17 '21 at 19:15
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The model defines the process (including the probability distribution of $x_t$) only for integer time points $t$. The distribution of $x_t$ for noninteger $t$ is not defined by the model.
Richard Hardy
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Yes, but my question is how to reasonably interpolate a discrete time process to continuous time. – Fortranner Apr 19 '21 at 16:01
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@Fortranner, actually, this is a rather different and distinct question. I suggest you post it separately. – Richard Hardy Apr 19 '21 at 16:32