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Factor ARMA representation of a Markov process

Author

Listed:
  • 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 - CNRS - Centre National de la Recherche Scientifique)

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).

Suggested Citation

  • Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2001. "Factor ARMA representation of a Markov process," Post-Print halshs-00678224, HAL.
    • Handle: RePEc:hal:journl:halshs-00678224
    DOI: 10.1016/S0165-1765(01)00367-6
    as

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