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

Staff Report 84 | Published January 1, 1983

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Author

Robert B. Litterman

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

Abstract

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


Published in: _Journal of Business and Economic Statistics_ (Vol. 1, No. 2, April 1983, pp. 169-173) https://doi.org/10.1080/07350015.1983.10509336.