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Testing for the Markov Property in Time Series
Conditional characteristic function Generalized cross-spectrum Markov property Smoothed nonparametric bootstrap
2011/4/1
The Markov property is a fundamental property in time series analysis and is often assumed in economic and …nancial modelling. We develop a new test for the Markov property using the conditional chara...
Testing for the Markov Property in Time Series
Markov property Conditional characteristic function Generalized cross-spectrum Smoothed nonparametric bootstrap
2011/4/6
The Markov property is a fundamental property in time series analysis and is often assumed in economic and financial modelling. We develop a test for the Markov property using the conditional characte...