On a Construction of Markov Models in Continuous Time

Ramses H. Mena (ramses@sigma.iimas.unam.mx) and Stephen G. Walker

ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research

Abstract: This paper studies a novel idea for constructing continuous-time stationary Markov models. The approach undertaken is based on a latent representation of the corresponding transition probabilities that conveys to appealing ways to study and simulate the dynamics of the constructed processes. Some well-known models are shown to fall within this construction shedding some light on both theoretical and applied properties. As an illustration of the capabilities of our proposal a simple estimation problem is posed.

Keywords: Gibbs sampler; Markov process; Stationary process (search for similar items in EconPapers)
Pages: 23 pages
Date: 2009-12
New Economics Papers: this item is included in nep-ecm and nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.bemservizi.unito.it/repec/icr/wp2009/ICERwp25-09.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:icr:wpmath:25-2009

Access Statistics for this paper

More papers in ICER Working Papers - Applied Mathematics Series from ICER - International Centre for Economic Research Corso Unione Sovietica, 218bis - 10134 Torino - Italy. Contact information at EDIRC.
Bibliographic data for series maintained by Daniele Pennesi (daniele.pennesi@unito.it).