Characterization of periodically correlated and multivariate stationary discrete time wide Markov processes

DOI10.1016/j.spl.2007.05.023zbMath1144.60027OpenAlexW2077053787MaRDI QIDQ2476824

Glaysar Castro, Valérie Girardin

Publication date: 12 March 2008

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2007.05.023

zbMATH Keywords

reflection coefficientsnon-stationary processesautoregressive processesperiodically correlated processesmultivariate stationary processeswide Markov processes

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General second-order stochastic processes (60G12) Discrete-time Markov processes on general state spaces (60J05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Markov processes (60J99)

Related Items

On periodically correlated wide-sense Markov processes

Uses Software

• itsmr
• partsm

Cites Work

• Prediction theory and Fourier series in several variables
• First order autoregressive Markov processes
• On periodic and multiple autoregressions
• Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
• On Multivariate Wide-sense Markov Processes
• Multivariate Wide-sense Markov Processes and Prediction Theory
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