Characterization of periodically correlated and multivariate stationary discrete time wide Markov processes

被引：2

作者：

Castro, Glaysar ^{[2
]}

Girardin, Valerie ^{[1
]}

机构：

[1] Lab Math N Oresme, UMR6139, BP5186, F-14032 Caen, France

[2] Sch Math, Caracas 1020A, Venezuela

来源：

STATISTICS & PROBABILITY LETTERS | 2008年 / 78卷 / 02期

关键词：

autoregressive processes; multivariate stationary processes; non-stationary processes; periodically correlated processes; reflection coefficients; wide Markov processes;

D O I：

10.1016/j.spl.2007.05.023

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The aim of this paper is to give an overview of the structure of the class of discrete time wide Markov processes, either periodically correlated or multivariate stationary. We show many properties of their covariance, correlation and reflection coefficients matrices. We characterize these processes chiefly in terms of autoregressive models of order one. Illustrative numerical examples are given. (c) 2007 Elsevier B.V. All rights reserved.

引用

页码：158 / 164

页数：7

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