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

DOI10.1016/J.SPL.2007.05.023MaRDI QIDQ2476824zbMATH OpenOpenAlexFDO

Authors 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

autoregressive processesmultivariate stationary processesnon-stationary processesperiodically correlated processesreflection coefficientswide Markov processes

Mathematics Subject Classification ID

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) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Recommendations

• On periodically correlated wide-sense Markov processes
• Discrete time periodically correlated Markov processes
• Decomposition of discrete time periodically correlated and multivariate stationary symmetric stable processes
• Two types of Markov property
• Covariance structure of wide-sense Markov processes of order k≥1

Cites work

• Discrete time periodically correlated Markov processes
• First order autoregressive Markov processes
• scientific article; zbMATH DE number 3854249 (Why is no real title available?)
• scientific article; zbMATH DE number 976336 (Why is no real title available?)
• scientific article; zbMATH DE number 954235 (Why is no real title available?)
• scientific article; zbMATH DE number 3336457 (Why is no real title available?)
• scientific article; zbMATH DE number 3371350 (Why is no real title available?)
• scientific article; zbMATH DE number 3085434 (Why is no real title available?)
• Maximum of entropy and extension of covariance matrices for periodically correlated and multivariate processes.
• Multivariate Wide-sense Markov Processes and Prediction Theory
• On Multivariate Wide-sense Markov Processes
• On periodic and multiple autoregressions
• Prediction theory and Fourier series in several variables

Cited in

(7)

• Circular autocorrelation of stationary circular Markov processes
• On periodically correlated wide-sense Markov processes
• Some stationary Markov processes in discrete time for unit vectors
• Covariance structure of wide-sense Markov processes of order k≥1
• scientific article; zbMATH DE number 4160609 (Why is no real title available?)
• Stochastic time series with strong, correlated measurement noise: Markov analysis in N dimensions
• Two types of Markov property

Describes a project that uses

Uses Software

• itsmr
• partsm

This page was built for publication: Characterization of periodically correlated and multivariate stationary discrete time wide Markov processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2476824)