时间序列分布中的随机游走马尔可夫模型

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

Journal of Business & Economic Statistics · 1983
被引 36
人大 AABS 4

中文导读

提出一种将季度时间序列分配到月度值的技术,推广了Fernandez(1981)的方法,并测试了该方法与Chow和Lin(1971)两种标准程序的准确性。

Abstract

This paper describes a technique for distributing quarterly time series across monthly values. The method generalizes an approach described by Fernandez (1981). The paper also presents results of a test of the accuracy of these two approaches and two standard procedures suggested by Chow and Lin (1971).

时间序列分布季度转月度马尔可夫模型随机游走