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#### Article: A note on the equivalence of two approaches for specifying a Markov process

Title A note on the equivalence of two approaches for specifying a Markov process Chan, KSTong, H ARMA modelEquivalence of distribution functionsStationarityStochastic difference equationTransition probability 2002 International Statistical Institute. The Journal's web site is located at http://www.cbs.nl/isi/bernoulli/INDEX.HTM Bernoulli, 2002, v. 8 n. 1, p. 117-122 How to Cite? The probabilistic structure of a discrete-time (high-order) vector Markov process may be studied using two approaches. In the first approach, the Markov process is specified by the transition probability and the initial distribution. An alternative approach is via a stochastic difference equation. We have proved that these two approaches are equivalent under very mild conditions. http://hdl.handle.net/10722/224673 1350-72652019 Impact Factor: 1.4962015 SCImago Journal Rankings: 2.120

DC FieldValueLanguage
dc.contributor.authorChan, KS-
dc.contributor.authorTong, H-
dc.date.accessioned2016-04-12T01:01:12Z-
dc.date.available2016-04-12T01:01:12Z-
dc.date.issued2002-
dc.identifier.citationBernoulli, 2002, v. 8 n. 1, p. 117-122-
dc.identifier.issn1350-7265-
dc.identifier.urihttp://hdl.handle.net/10722/224673-
dc.description.abstractThe probabilistic structure of a discrete-time (high-order) vector Markov process may be studied using two approaches. In the first approach, the Markov process is specified by the transition probability and the initial distribution. An alternative approach is via a stochastic difference equation. We have proved that these two approaches are equivalent under very mild conditions.-
dc.languageeng-
dc.publisherInternational Statistical Institute. The Journal's web site is located at http://www.cbs.nl/isi/bernoulli/INDEX.HTM-
dc.relation.ispartofBernoulli-
dc.subjectARMA model-
dc.subjectEquivalence of distribution functions-
dc.subjectStationarity-
dc.subjectStochastic difference equation-
dc.subjectTransition probability-
dc.titleA note on the equivalence of two approaches for specifying a Markov process-
dc.typeArticle-
dc.identifier.emailTong, H: howell.tong@gmail.com-
dc.identifier.hkuros72717-
dc.identifier.volume8-
dc.identifier.issue1-
dc.identifier.spage117-
dc.identifier.epage122-
dc.publisher.placeNetherlands-