Comparing Random and Deterministic Time Series
AbstractThis paper addresses the question of distinguishing the output of a stochastic process from that of a deterministic process. An impossibility theorem is described which states that time a series resulting from deterministic B-processes is observationally equivalent to, and hence indistinguishable from, the output of a continuous time Markov process on a finite number of states.
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Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 4 (1994)
Issue (Month): 5 (August)
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Web page: http://link.springer.de/link/service/journals/00199/index.htm
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- William Barnett & Apostolos Serletis, 2012.
"Martingales, Nonlinearity, And Chaos,"
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201225, University of Kansas, Department of Economics, revised Sep 2012.
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- Serletis, Apostolos & Shintani, Mototsugu, 2006. "Chaotic monetary dynamics with confidence," Journal of Macroeconomics, Elsevier, vol. 28(1), pages 228-252, March.
- Dudek, Maciej K., 2010. "A consistent route to randomness," Journal of Economic Theory, Elsevier, vol. 145(1), pages 354-381, January.
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