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
reflection coefficientsnon-stationary processesautoregressive processesperiodically correlated processesmultivariate stationary processeswide Markov processes
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
Uses Software
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
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item