Factor ARMA representation of a Markov process

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, Xtâˆ’1).

MoreLess

Year of publication:	2001
Authors:	Darolles, Serge ; Florens, Jean-Pierre ; Gourieroux, Christian
Institutions:	Département Sciences Sociales, Agriculture et Alimentation, Espace et Environnement (SAE2), Institut National de la Recherche Agronomique (INRA)
Subject:	Markov process \| Reversibility \| Dynamic factors \| Nonlinear \| Canonical analysis

freely available

Full text |

More access options

Check Google Scholar

In German libraries (KVK)

I need help

More details

Series:	Working Papers.
Type of publication:	Book / Working Paper
Notes:	Published in Economics Letters 165 pages long171
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011148948