A Random Walk, Markov Model for the Distribution of Time Series

Robert Litterman

Journal of Business & Economic Statistics, 1983, vol. 1, issue 2, 169-73

Date: 1983
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Working Paper: A random walk, Markov model for the distribution of time series (1983)
Software Item: CHOWLIN: RATS procedure to distribute a series to a higher frequency using related series
Software Item: DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure
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