Clipped Gaussian processes are never M-step Markov

DOI10.1016/0047-259X(89)90072-9MaRDI QIDQ1121593zbMATH OpenFDO

Authors Eric V. Slud

Publication date 1989

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0047-259X(89)90072-9

zbMATH Keywords

clipped processGaussian processMarkov sequencestationary

Mathematics Subject Classification ID

Gaussian processes (60G15) Characterization and structure theory of statistical distributions (62E10)

Review text

Given real-valued random variables \(Z_ t\), \(t=0,\pm 1,...\), the process \(X_ t=I(Z_ t\geq c)\), \(t=0,\pm 1,..\). is referred to as the clipped process. Here I(\(\cdot)\) denotes the indicator function and c is any given real number. The author shows that if \(Z_ t\), \(t=0,\pm 1,..\). is a stationary but not independent Gaussian process, then its clipped process can never be an m-th order Markov sequence \((m>1)\), although its correlation-sequence can agree exactly with that of a Markov sequence. This result shows the incompatibility of an assumption implicit in \textit{B. Kedem}, Biometrika 65, 207-210 (1978; Zbl 0371.62133).

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Cites work

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• Clipped Gaussian processes are never M-step Markov
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Cited in

(2)

• Clipped Gaussian processes are never M-step Markov
• Estimation of parameters of a clipped MA(1) process

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