Noncausality and Marginalization of Markov Processes
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.
Year of publication: |
1993
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Authors: | Florens, J.P. ; Mouchart, M. ; Rolin, J.M. |
Published in: |
Econometric Theory. - Cambridge University Press. - Vol. 9.1993, 02, p. 241-262
|
Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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