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

TitleA note on the equivalence of two approaches for specifying a Markov process
Authors
Chan, KSTong, H
KeywordsARMA model
Equivalence of distribution functions
Stationarity
Stochastic difference equation
Transition probability
Issue Date2002
PublisherInternational 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?
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.
Persistent Identifierhttp://hdl.handle.net/10722/224673
ISSN
1350-7265
2021 Impact Factor: 1.822
2020 SCImago Journal Rankings: 1.814

 

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-
dc.identifier.issnl1350-7265-

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