Factor ARMA Representation of a Markoc Process.

We decompose a stationary Markov process (X^t) as: X^t = a^o + [Sommation from j=1 to infinity) a^j Z^(j,t), where the Z^j 's processes admit ARMA specifications. These decompositions are deduced from a nonlinear canonical decomposition of the joint distribution of (X^t, X^(t-1)).

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Year of publication:	2000
Authors:	Darolles, S. ; Florens, J.-P. ; Gourieroux, C.
Subject:	ECONOMETRICS \| STATISTICS \| MATHEMATICS

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Type of publication:	Book / Working Paper
Notes:	12 pages
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models ; C40 - Econometric and Statistical Methods: Special Topics. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005641085