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Darolles, Serge
, Florens, Jean-Pierre and Gourieroux, Christian
(2001)
Factor ARMA Representation of Markov Process.
Economics Letters, 71 (2).
pp. 165-171.
Official URL : http://tse-fr.eu/pub/997
Identification Number : 10.1016/S0165-1765(01)00367-6
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: | 05 Sep 2023 13:38 |
| OAI Identifier: | oai:tse-fr.eu:997 |
| URI: | https://publications.ut-capitole.fr/id/eprint/1829 |
