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

Bernoulli

Volumn 8, Issue 1, 2002, Pages 117-122

  Chan, K S ^a   Tong, H ^b,c  

^a UNIVERSITY OF IOWA   (United States)

^b LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^c UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

ARMA model; Equivalence of distribution functions; Stationarity; Stochastic difference equation; Transition probability

Indexed keywords

EID: 33644974599     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: None     Document Type: Article

References (7)

1. Akaike, H. (1976) Canonical correlation analysis of time series and the use of an information criterion. In R.K. Mehra and D.G. Lainiotis (eds), System Identification: Advances in Case Studies, pp. 27-96. New York: Academic Press.
2. Hannan, E.J. (1979) A note on autoregressive-moving average identification. Biometrika, 66, 672-674.
3. Hannan, E.J. and Deistler, M. (1988) The Statistical Theory of Linear Systems. New York: Wiley.
4. Rosenblatt, R. (1971) Markov Processes: Structure and Asymptotic Behavior. Berlin: Springer-Verlag.
5. Tiao, G.C. and Tsay, R.S. (1989) Model specification in multivariate time series (with discussion). J. Roy. Statist. Soc. Ser. B, 51, 157-213.
6. Tong, H. (1990) Non-linear Time Series: A Dynamical System Approach. Oxford: Oxford University Press.
7. Tuan, P.D. (1978) On the fitting of multivariate processes of the autoregressive-moving average type. Biometrika, 65, 99-107.