Factor ARMA Representation of Markov Process

Darolles, Serge, Florens, Jean-Pierre and Gouriéroux, Christian (2001) Factor ARMA Representation of Markov Process. Economics Letters, 71 (2). pp. 165-171.

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Official URL: http://tse-fr.eu/pub/997

Abstract

We decompose a stationary Markov process (Xt) as a linear combination of ARMA. These decompositions are deduced from a nonlinear canonical decomposition of the joint distribution of (Xt, Xt−1).

Item Type: Article
Language: English
Date: May 2001
Refereed: Yes
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Site: UT1
Date Deposited: 18 Jan 2012 05:50
Last Modified: 07 Mar 2018 13:21
OAI ID: oai:tse-fr.eu:997
URI: http://publications.ut-capitole.fr/id/eprint/1829

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