Xiaohong Chen, Lars Peter Hansen, Jose Scheinkman  Home/Search
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Abstract: In this paper we propose methods for identifying and characterizing weakly dependent Markov processes. Our approach is based on a spectral decomposition of the Markov transition operator. When the Markov process is time reversible, this decomposition imitates principal component analysis, but it is applied to the transition operator. Hence we are interested in the eigenfunctions and eigenvalues of this operator. These eigenfunctions will typically be nonlinear functions of the Markov state, but ... (Update)
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BibTeX entry: (Update)
Chen, X., Hansen, L.P., and J. Scheinkman (1998) : "Shape Preserving Estimation of Diffusions ", Univ. of Chicago, Discussion Paper. http://citeseer.ist.psu.edu/chen98shapepreserving.html More
@misc{ chen98shape,
author = "X. Chen and L. Hansen",
title = "Shape Preserving Estimation of Diffusions",
text = "Chen, X., Hansen, L.P., and J. Scheinkman (1998) : Shape Preserving Estimation
of Diffusions , Univ. of Chicago, Discussion Paper.",
year = "1998",
url = "citeseer.ist.psu.edu/chen98shapepreserving.html" }
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