Comparing Random and Deterministic Time Series

Amy Radunskaya

Economic Theory, 1994, vol. 4, issue 5, 765-76

Abstract: This paper addresses the question of distinguishing the output of a stochastic process from that of a deterministic process. An impossibility theorem is described which states that time a series resulting from deterministic B-processes is observationally equivalent to, and hence indistinguishable from, the output of a continuous time Markov process on a finite number of states.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:spr:joecth:v:4:y:1994:i:5:p:765-76

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