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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References
Brockwell, P. J. and Davis R. A., (1987). Time series :
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Feller, W., (1968). An introduction to probability theory
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Lai, C.D.,(1977). First order autoregressive markov
processes. Stochastic processes and their applications, 3
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Lancaster, P., (1968.). Theory of matrices (Academic
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Published
2006-12-01
How to Cite
BOUSSEBOUA, M., & RAHMANI, F. L. (2006). First order autoregressive representation of Markov bi-dimensional chains of 1-order. Sciences & Technology. A, Exactes Sciences, (24), 36–40. Retrieved from https://revue.umc.edu.dz/a/article/view/150
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