Discrete time periodically correlated Markov processes

• Autorzy: Nematollahi A. R. , Soltani A. R.
• Języki publikacji: EN

Abstrakty

EN

We consider a discrete time periodically correlated process {X_n} which is also Markov in the wide sense. We provide closed formulas for the covariance function R (n, m) = EX_n, X_m, and for the spectral density f = [f_j,k,] of such a process. Interestingly, we observe that the covariance function, and also the spectral density, is fully specified only by the values of {R(j,j), R(j, j+1), j = 0, 1, ..., T-l}, where T is the period of the process.

Słowa kluczowe

EN

periodically correlated processes; Markov processes; covariance characterization; spectral density characterization; second order processes

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2000
• Tom: Vol. 20, Fasc. 1
• Strony: 127--140
• Opis fizyczny: Bibliogr. 11 poz.

Twórcy

autor

Nematollahi A. R.

• Department of Statistics, College of Science, Shiraz University, Shiraz 71454, Iran

autor

Soltani A. R.

• Department of Statistics, College of Science, Shiraz University, Shiraz 71454, Iran

Bibliografia

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