On regression representations of stochastic processes

We construct a.s. nonlinear regression representations of general stochastic processes . As a consequence we obtain in particular special regression representations of Markov chains and of certain m-dependent sequences. For m-dependent sequences we obtain a constructive method to check, whether these sequences have a monotone (m+1)-block factor representation.

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Year of publication:	1993
Authors:	Rüschendorf, Ludger ; de Valk, Vincent
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 46.1993, 2, p. 183-198
Publisher:	Elsevier
Keywords:	representation as function of i.i.d. sequences * generalized two-block factor * m-dependence * Markov regression * Markov chain

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875417