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Factor ARMA Representation of a Markov Process

Author

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  • Serge Darolles

    (Crest)

  • Jean-Pierre Florens

    (Crest)

  • Christian Gourieroux

    (Crest)

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

  • Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2000. "Factor ARMA Representation of a Markov Process," Working Papers 2000-26, Center for Research in Economics and Statistics.
  • Handle: RePEc:crs:wpaper:2000-26
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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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