Factor ARMA representation of a Markov process

DOI10.1016/S0165-1765(01)00367-6MaRDI QIDQ5941014zbMATH OpenFDO

Authors Serge Darolles, Jean-Pierre Florens, Christian Gouriéroux

Publication date 20 August 2001

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0165-1765(01)00367-6

zbMATH Keywords

dynamic factorsMarkov processnonlinear canonical analysisreversibility

Mathematics Subject Classification ID

Discrete-time Markov processes on general state spaces (60J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A comparison of linear versus non-linear prediction for polynomial functions of the Ornstein-Uhlenbeck process
• scientific article; zbMATH DE number 3537122 (Why is no real title available?)
• scientific article; zbMATH DE number 3195732 (Why is no real title available?)
• On Polynomial Expansions of Second-Order Distributions
• Spectral methods for identifying scalar diffusions
• The Structure of Bivariate Distributions

Cited in

(5)

• Decomposition of an autoregressive process into first order processes
• A decomposition of some serially-structured variance matrices
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• A martingale decomposition of discrete Markov chains
• scientific article; zbMATH DE number 4184814 (Why is no real title available?)

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