Factor ARMA representation of a Markov process
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Publication:5941014
DOI10.1016/S0165-1765(01)00367-6zbMath0983.60067MaRDI QIDQ5941014
Serge Darolles, Christian Gouriéroux, Jean-Pierre Florens
Publication date: 20 August 2001
Published in: Economics Letters (Search for Journal in Brave)
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
60J05: Discrete-time Markov processes on general state spaces
Cites Work