The multidimensional markov chain with prespecified asymptotic means, and (auto-)covariances

DOI10.1080/03610929108830502zbMATH Open0732.62092OpenAlexW1983134694MaRDI QIDQ3358097FDOQ3358097

Authors: C. Guus E. Boender, H. Edwin Romeijn 

Publication date: 1991

Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929108830502

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zbMATH Keywords

stationary time seriescorrelationsinterest ratesrandom time seriesautocorrelationsmultidimensional Markov chainDecision Support Systemmanagement of pension fundspension premiumsprespecified asymptotic meansprice- inflationwage-inflation

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (1)

• A hybrid simulation/optimisation scenario model for asset/liability management

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