A Note on the Prediction Process

In this note, we give an example to show that the prediction process may lost Markov property if the future of the process which generates the known past is not included in the future to be predicted.

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Year of publication:	1997-10
Authors:	Tsukahara, Hideatsu
Institutions:	Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics

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Extent:	text/html
Series:	CIRJE F-Series.
Type of publication:	Book / Working Paper
Notes:	Number 97-F-35 7 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005465401