Generation and analysis of non-Gaussian Markov time series

DOI10.1109/78.127957zbMATH Open0743.62088OpenAlexW2152228690MaRDI QIDQ4005166FDOQ4005166

Authors: P. Srinavasa Rao, Don H. Johnson, David D. Becker 

Publication date: 27 September 1992

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/78.127957

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zbMATH Keywords

linear modelsnonlinear methodsfiltered white noisecorrelated non-Gaussian Markov sequencesdiagonal series expansion of bivariate densitiesfirst-order linear autoregressive modelhyperbolic secant amplitude distribution

Mathematics Subject Classification ID

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

Cited In (1)

• Stochastic time series with strong, correlated measurement noise: Markov analysis in \(N\) dimensions

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