A Random Walk, Markov Model for the Distribution of Time Series
Bibliographic Data
| ID | 19418290 |
|---|---|
| Authors | Robert B Litterman (Federal Reserve Bank of Minneapolis, corresponding author) |
| Year | 1983 |
| Volume | 1 |
| Issue | 2 |
| Pages | 169-173 |
| Publication date | 1983-04-01 |
| Peer Reviewed | Yes |
| Open Access | No |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.1983.10509336 |
| OpenAlex | W2012755828 |
| Language | EN |
| Citations received | 18 |
| References cited | 3 |
This article describes a technique for distributing quarterly time series across monthly values. The method generalizes an approach described by Fernández (1981). The article also presents results of a test of the accuracy of these two approaches and of the accuracy of two standard procedures suggested by Chow and Lin (1971)
Econometrics · Markov chain · Markov model · Markov process · Random walk · Statistics · Time series · Variable-order Markov model · Complex Systems and Time Series Analysis · Computer Science · Forecasting Techniques and Applications · Mathematics
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| Unique citing works | 18 |
|---|---|
| Citations per year | 0,45 |
| Citation span | 1986 - 2024 (39) |
| Citation velocity | recent |
| Highly cited | No |
| Citation types | Neutral: 16 |