A Note on the Prediction Process

Hideatsu Tsukahara

No 97-F-35, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: In this note, we give an example to show that the prediction process may lost Markov property if the future of the process which generates the known past is not included in the future to be predicted.

Pages: 7 pages
Date: 1997-10
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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:97f35

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