Factor ARMA representation of a Markov process

Serge Darolles; Jean Pierre Florens; Christian Gouriéroux

doi:10.1016/S0165-1765(01)00367-6

Factor ARMA representation of a Markov process

Serge Darolles
, Jean Pierre Florens
, Christian Gouriéroux

Société Générale
Institut d'Economie Industrielle (IDEI)
CEPREMAP Centre pour la Recherche Économique et ses Applications

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

Abstract

We decompose a stationary Markov process (X_t) as: X_t=a₀+∑_j=1^∞a _jZ_j,t, where the Z_j's processes admit ARMA specifications. These decompositions are deduced from a nonlinear canonical decomposition of the joint distribution of (X_t, X_t-1).

Original language	English
Pages (from-to)	165-171
Number of pages	7
Journal	Economics Letters
Volume	71
Issue number	2
DOIs	https://doi.org/10.1016/S0165-1765(01)00367-6
Publication status	Published - 1 May 2001
Externally published	Yes

Keywords

C14
C22
Canonical analysis
Dynamic factors
Markov process
Nonlinear
Reversibility

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10.1016/S0165-1765(01)00367-6

Cite this

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title = "Factor ARMA representation of a Markov process",

abstract = "We decompose a stationary Markov process (Xt) as: Xt=a0+∑j=1∞a jZj,t, where the Zj's processes admit ARMA specifications. These decompositions are deduced from a nonlinear canonical decomposition of the joint distribution of (Xt, Xt-1).",

keywords = "C14, C22, Canonical analysis, Dynamic factors, Markov process, Nonlinear, Reversibility",

author = "Serge Darolles and Florens, \{Jean Pierre\} and Christian Gouri{\'e}roux",

year = "2001",

month = may,

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doi = "10.1016/S0165-1765(01)00367-6",

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AU - Darolles, Serge

AU - Florens, Jean Pierre

AU - Gouriéroux, Christian

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N2 - We decompose a stationary Markov process (Xt) as: Xt=a0+∑j=1∞a jZj,t, where the Zj's processes admit ARMA specifications. These decompositions are deduced from a nonlinear canonical decomposition of the joint distribution of (Xt, Xt-1).

AB - We decompose a stationary Markov process (Xt) as: Xt=a0+∑j=1∞a jZj,t, where the Zj's processes admit ARMA specifications. These decompositions are deduced from a nonlinear canonical decomposition of the joint distribution of (Xt, Xt-1).

KW - C14

KW - C22

KW - Canonical analysis

KW - Dynamic factors

KW - Markov process

KW - Nonlinear

KW - Reversibility

U2 - 10.1016/S0165-1765(01)00367-6

DO - 10.1016/S0165-1765(01)00367-6

M3 - Article

AN - SCOPUS:0035589357

SN - 0165-1765

VL - 71

SP - 165

EP - 171

JO - Economics Letters

JF - Economics Letters

IS - 2

ER -

Factor ARMA representation of a Markov process

Abstract

Keywords

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