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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 |
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Authors | |
Keywords | ARMA model Equivalence of distribution functions Stationarity Stochastic difference equation Transition probability |
Issue Date | 2002 |
Publisher | International Statistical Institute. The Journal's web site is located at http://www.cbs.nl/isi/bernoulli/INDEX.HTM |
Citation | Bernoulli, 2002, v. 8 n. 1, p. 117-122 How to Cite? |
Abstract | 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. |
Persistent Identifier | http://hdl.handle.net/10722/224673 |
ISSN | 2023 Impact Factor: 1.5 2023 SCImago Journal Rankings: 1.522 |
DC Field | Value | Language |
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dc.contributor.author | Chan, KS | - |
dc.contributor.author | Tong, H | - |
dc.date.accessioned | 2016-04-12T01:01:12Z | - |
dc.date.available | 2016-04-12T01:01:12Z | - |
dc.date.issued | 2002 | - |
dc.identifier.citation | Bernoulli, 2002, v. 8 n. 1, p. 117-122 | - |
dc.identifier.issn | 1350-7265 | - |
dc.identifier.uri | http://hdl.handle.net/10722/224673 | - |
dc.description.abstract | 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. | - |
dc.language | eng | - |
dc.publisher | International Statistical Institute. The Journal's web site is located at http://www.cbs.nl/isi/bernoulli/INDEX.HTM | - |
dc.relation.ispartof | Bernoulli | - |
dc.subject | ARMA model | - |
dc.subject | Equivalence of distribution functions | - |
dc.subject | Stationarity | - |
dc.subject | Stochastic difference equation | - |
dc.subject | Transition probability | - |
dc.title | A note on the equivalence of two approaches for specifying a Markov process | - |
dc.type | Article | - |
dc.identifier.email | Tong, H: howell.tong@gmail.com | - |
dc.identifier.hkuros | 72717 | - |
dc.identifier.volume | 8 | - |
dc.identifier.issue | 1 | - |
dc.identifier.spage | 117 | - |
dc.identifier.epage | 122 | - |
dc.publisher.place | Netherlands | - |
dc.identifier.issnl | 1350-7265 | - |