First order autoregressive representation of Markov bi-dimensional chains of 1-order

Auteurs-es

  • M BOUSSEBOUA Université Constantine 1
  • F. L RAHMANI Université Constantine 1

Mots-clés :

Markov’chains, autoregressive process, spectral density, diagonal development of bivariate distribution

Résumé

This paper suggests an extension of Lai’s results about the first order autoregressive
representation 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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Biographies de l'auteur-e

  • M BOUSSEBOUA, Université Constantine 1
    Département de Mathématique

  • F. L RAHMANI, Université Constantine 1
    Département de Mathématique

Références

Brockwell, P. J. and Davis R. A., (1987). Time series :

Theory and methods (Springer Verlag).

Feller, W., (1968). An introduction to probability theory

and its application Vol 1 (John Wiley & sons)

Fuller, W.A. (1996). Introduction to Statistical Times

series (Wiley Series in Probability and statistics).

Lai, C.D.,(1977). First order autoregressive markov

processes. Stochastic processes and their applications, 3

-4.

Lancaster, P., (1968.). Theory of matrices (Academic

Press).

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Publié

2006-12-01

Numéro

N° 24 Décembre 2006

Rubrique

Articles

Comment citer

First order autoregressive representation of Markov bi-dimensional chains of 1-order. (2006). Sciences & Technologie. A, Sciences Exactes, 24, 36-40. https://revue.umc.edu.dz/a/article/view/150