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Noncausality and Marginalization of Markov Processes

  • Florens, J.P.
  • Mouchart, M.
  • Rolin, J.M.
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    In this paper it is shown that a subprocess of a Markov process is markovian if a suitable condition of noncausality is satisfied. Furthermore, a markovian condition is shown to be a natural condition when analyzing the role of the horizon (finite or infinite) in the property of noncausality. We also give further conditions implying that a process is both jointly and marginally markovian only if there is both finite and infinite noncausality and that a process verifies both finite and infinite noncausality only if it is markovian. Counterexamples are also given to illustrate the cases where these further conditions are not satisfied.

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    File URL: http://journals.cambridge.org/abstract_S0266466600007520
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    Article provided by Cambridge University Press in its journal Econometric Theory.

    Volume (Year): 9 (1993)
    Issue (Month): 02 (April)
    Pages: 241-262

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    Handle: RePEc:cup:etheor:v:9:y:1993:i:02:p:241-262_00
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