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Factor ARMA representation of a Markov process

Author

Listed:
  • Darolles, Serge
  • Florens, Jean-Pierre
  • Gourieroux, Christian
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).
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Suggested Citation

  • Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2001. "Factor ARMA representation of a Markov process," Economics Letters, Elsevier, vol. 71(2), pages 165-171, May.
  • Handle: RePEc:eee:ecolet:v:71:y:2001:i:2:p:165-171
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    References listed on IDEAS

    as
    1. Hansen, Lars Peter & Alexandre Scheinkman, Jose & Touzi, Nizar, 1998. "Spectral methods for identifying scalar diffusions," Journal of Econometrics, Elsevier, vol. 86(1), pages 1-32, June.
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