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

zbMath1002.60071MaRDI QIDQ1611567

Kung-Sik Chan, Howell Tong

Publication date: 1 January 2003

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

transition probabilityARMA modelstochastic difference equationequivalence of distribution functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Threshold models in time series analysis -- some reflections ⋮ Nonlinear time series analysis since 1990: Some personal reflections

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