First order autoregressive representation of Markov bi-dimensional chains of 1-order
Mots-clés :
Markov’chains, autoregressive process, spectral density, diagonal development of bivariate distributionRésumé
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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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-e
2006-12-01
Comment citer
BOUSSEBOUA, M., & RAHMANI, F. L. (2006). First order autoregressive representation of Markov bi-dimensional chains of 1-order. Sciences & Technologie. A, Sciences Exactes, (24), 36–40. Consulté à l’adresse https://revue.umc.edu.dz/a/article/view/150
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