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

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  • Litterman, Robert B

Abstract

Does a temporal disaggregation of a series, changing the frequency to a higher one while maintaining the sum, average or final value over each period of the levels. This can handle a variety of models both for the noise term and linear, log-linear and multiplicative relationships. It includes Chow-Lin as a special case.
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Suggested Citation

  • Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
    • Handle: RePEc:bes:jnlbes:v:1:y:1983:i:2:p:169-73
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    References listed on IDEAS

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    1. Milton Friedman, 1962. "The Interpolation of Time Series by Related Series," NBER Books, National Bureau of Economic Research, Inc, number frie62-1, March.
    2. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-375, November.
    3. Fernandez, Roque B, 1981. "A Methodological Note on the Estimation of Time Series," The Review of Economics and Statistics, MIT Press, vol. 63(3), pages 471-476, August.
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