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A Random Walk, Markov Model for the Distribution of Time Series

โœ Scribed by Robert B. Litterman


Book ID
111964883
Publisher
American Statistical Association
Year
1983
Tongue
English
Weight
173 KB
Volume
1
Category
Article
ISSN
0735-0015

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We consider modelling time series of amounts which may be zero using a stochastic ยฎrst-order Markov model with mixed transition density having a discrete component at 0 and a continuous component describing non-zero amounts. The models extend chain-dependent stochastic models in the literature on mo