First order autoregressive representation of Markov bi-dimensional chains of 1-order
Keywords:
Markov’chains, autoregressive process, spectral density, diagonal development of bivariate distributionAbstract
This paper suggests an extension of Lai’s results about the first order autoregressiverepresentation of Markov bi-dimensional chain of 1-order. In the case of markov chain with
independent components, we find of course the conditions validating these results for each
component.
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