WHAT PROPERTIES DO CLIPPED DATA INHERIT FROM THE GENERATING PROCESSES?
WHAT PROPERTIES DO CLIPPED DATA INHERIT FROM THE GENERATING PROCESSES?
Author(s): Cristian Litan, Adrian BuzSubject(s): Economy
Published by: Studia Universitatis Babes-Bolyai
Keywords: binary time series; hard limiting; stationarity; Markov property; ergodicity.
Summary/Abstract: We analyze the way three important properties are inherited from the generating process to the hard limited one. These properties are stationarity, Markov property and ergodicity. We discuss the implications of our results and proofs in the context of the literature of binary processes modeling with economic applications.
Journal: Studia Universitatis Babes Bolyai - Oeconomica
- Issue Year: 57/2012
- Issue No: 3
- Page Range: 85-96
- Page Count: 12
- Language: English