Kim, Chang-jin (contributor); Piger, Jeremy Max (contributor) - 2003 - [Elektronische Ressource], rev
a Markov-chain, and is
thus serially dependent. In an influential article, Hamilton (1989) extended Markov … chain
with transition probabilities:
)(),|(
1 tijttt
zPzjSiSP ===
−
. (2.2)
In (2.2), the transition probabilities … elements of
t
x . The Markov chain is
assumed to evolve independently of all observations of those elements of
t
x not …