On regression representations of stochastic processes

Ludger Rüschendorf and Vincent de Valk

Stochastic Processes and their Applications, 1993, vol. 46, issue 2, 183-198

Abstract: We construct a.s. nonlinear regression representations of general stochastic processes . As a consequence we obtain in particular special regression representations of Markov chains and of certain m-dependent sequences. For m-dependent sequences we obtain a constructive method to check, whether these sequences have a monotone (m+1)-block factor representation.

Keywords: representation; as; function; of; i.i.d.; sequences; *; generalized; two-block; factor; *; m-dependence; *; Markov; regression; *; Markov; chain (search for similar items in EconPapers)
Date: 1993
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Citations: View citations in EconPapers (7)

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