Factor ARMA representation of a Markov process

Authors
Darolles, S Florens, JP Gourieroux, C
Citation
S. Darolles et al., Factor ARMA representation of a Markov process, ECON LETT, 71(2), 2001, pp. 165-171
Citations number
8
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
71
Issue
2
Year of publication
2001
Pages
165 - 171
Database
ISI
SICI code
0165-1765(200105)71:2<165:FAROAM>2.0.ZU;2-G
Abstract
We decompose a stationary Markov process (X-t) as: X-t = a(0) + Sigma (infi nity)(j=1) a(j)Z(j,t), where the Z(j)'s process admit ARMA specifications. These decompositions are deduced from a nonlinear canonical decomposition o f the joint distribution of (X-t, Xt-1). (C) 2001 Elsevier Science BN. All rights reserved.