A martingale decomposition of discrete Markov chains

DOI10.1016/J.ECONLET.2015.04.028zbMath1364.62227OpenAlexW2017681017WikidataQ60110321 ScholiaQ60110321MaRDI QIDQ529765

Peter Reinhard Hansen

Publication date: 9 June 2017

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://pure.au.dk/ws/files/86343383/rp15_18.pdf

zbMATH Keywords

Markov chainmartingaleBeveridge-Nelson decomposition

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Discrete-time Markov processes on general state spaces (60J05) Martingales with continuous parameter (60G44)

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