Factor ARMA representation of a Markov process

dc.contributor.author	Gouriéroux, Christian
dc.contributor.author	Florens, Jean-Pierre
dc.contributor.author	Darolles, Serge
dc.date.accessioned	2012-05-04T12:31:56Z
dc.date.available	2012-05-04T12:31:56Z
dc.date.issued	2001-05
dc.identifier.uri	https://basepub.dauphine.fr/handle/123456789/9140
dc.language.iso	en	en
dc.subject	Markov process	en
dc.subject	Reversibility	en
dc.subject	Dynamic factors	en
dc.subject	Nonlinear	en
dc.subject	Canonical analysis	en
dc.subject.ddc	332	en
dc.subject.classificationjel	C14	en
dc.subject.classificationjel	C22	en
dc.title	Factor ARMA representation of a Markov process	en
dc.type	Article accepté pour publication ou publié
dc.description.abstracten	We 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.isversionofjnlname	Economics Letters
dc.relation.isversionofjnlvol	71	en
dc.relation.isversionofjnlissue	2	en
dc.relation.isversionofjnldate	2001-05
dc.relation.isversionofjnlpages	165–171	en
dc.relation.isversionofdoi	http://dx.doi.org/10.1016/S0165-1765(01)00367-6	en
dc.description.sponsorshipprivate	oui	en
dc.relation.isversionofjnlpublisher	Elsevier	en
dc.subject.ddclabel	Economie financière	en

Files in this item

Files	Size	Format	View
There are no files associated with this item.