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

Robert B. Litterman

289 citations0/0 files storedJournal of Business and Economic Statistics

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Forecasting Techniques and Applications Time Series Analysis and Forecasting Statistical and numerical algorithms

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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References

1971Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series 1981A Methodological Note on the Estimation of Time Series

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