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Article Dans Une Revue Economics Letters Année : 2001

Factor ARMA representation of a Markov process

Résumé

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).

Dates et versions

halshs-00678224 , version 1 (12-03-2012)

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Serge Darolles, Jean-Pierre Florens, Christian Gourieroux. Factor ARMA representation of a Markov process. Economics Letters, 2001, 71 (2), pp.165-171. ⟨10.1016/S0165-1765(01)00367-6⟩. ⟨halshs-00678224⟩
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