oaioai:publications.ut-capitole.fr:1829

Factor ARMA Representation of Markov Process

Authors
Publication date
May 1, 2001
Publisher
'Elsevier BV'
Doi

    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)

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    Toulouse Capitole Publications

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    oaioai:publications.ut-ca...Last time updated on 4/17/2020

    This paper was published in Toulouse Capitole Publications.

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