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

Robert B. Litterman
Journal of Business & Economic Statistics
Vol. 1, No. 2 (Apr., 1983), pp. 169-173
DOI: 10.2307/1391858
Stable URL: http://www.jstor.org/stable/1391858
Page Count: 5
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A Random Walk, Markov Model for the Distribution of Time Series
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Abstract

This article describes a technique for distributing quarterly time series across monthly values. The method generalizes an approach described by Fernández (1981). The article also presents results of a test of the accuracy of these two approaches and of the accuracy of two standard procedures suggested by Chow and Lin (1971).

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