Factor ARMA representation of a Markov process

Serge Darolles (), Jean-Pierre Florens () and Christian Gourieroux
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Serge Darolles: DRM-Finance - DRM - Dauphine Recherches en Management - Université Paris Dauphine-PSL - PSL - Université Paris Sciences et Lettres - CNRS - Centre National de la Recherche Scientifique
Jean-Pierre Florens: GREMAQ - Groupe de recherche en économie mathématique et quantitative - UT Capitole - Université Toulouse Capitole - UT - Université de Toulouse - INRA - Institut National de la Recherche Agronomique - EHESS - École des hautes études en sciences sociales - CNRS - Centre National de la Recherche Scientifique
Christian Gourieroux: CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - IP Paris - Institut Polytechnique de Paris - CNRS - Centre National de la Recherche Scientifique

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Abstract: We decompose a stationary Markov process (Xt) as a linear combination of ARMA. These decompositions are deduced from a nonlinear canonical decomposition of the joint distribution of (Xt, Xt−1).

Keywords: Markov process; Reversibility; Dynamic factors; Nonlinear; Canonical analysis (search for similar items in EconPapers)
Date: 2001-06-01
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Published in Economics Letters, 2001, 71 (2), pp.165-171. ⟨10.1016/S0165-1765(01)00367-6⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00678224

DOI: 10.1016/S0165-1765(01)00367-6

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