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dc.contributor.authorGouriéroux, Christian
dc.contributor.authorFlorens, Jean-Pierre
dc.contributor.authorDarolles, Serge
dc.date.accessioned2012-05-04T12:31:56Z
dc.date.available2012-05-04T12:31:56Z
dc.date.issued2001-05
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9140
dc.language.isoenen
dc.subjectMarkov processen
dc.subjectReversibilityen
dc.subjectDynamic factorsen
dc.subjectNonlinearen
dc.subjectCanonical analysisen
dc.subject.ddc332en
dc.subject.classificationjelC14en
dc.subject.classificationjelC22en
dc.titleFactor ARMA representation of a Markov processen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe decompose a stationary Markov process (Xt) as: View the MathML source, where the Zj’s processes admit ARMA specifications. These decompositions are deduced from a nonlinear canonical decomposition of the joint distribution of (Xt, Xt−1).en
dc.relation.isversionofjnlnameEconomics Letters
dc.relation.isversionofjnlvol71en
dc.relation.isversionofjnlissue2en
dc.relation.isversionofjnldate2001-05
dc.relation.isversionofjnlpages165–171en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/S0165-1765(01)00367-6en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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