Discrete time series generated by mixtures III: Autoregressive processes (DAR(p))
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Authors
Jacobs, Patricia A.
Lewis, Peter A. W.
Subjects
Discrete Time Series
Discrete Random Variable Mixtures
Marginal Distribution
Autoregressive Processes
Correlation Structure
Markov Chain
DAR(p) Process
Stationary Sequence
Discrete Random Variable Mixtures
Marginal Distribution
Autoregressive Processes
Correlation Structure
Markov Chain
DAR(p) Process
Stationary Sequence
Advisors
Date of Issue
1978-09
Date
1978-09
Publisher
Monterey, California. Naval Postgraduate School
Language
en_US
Abstract
A scheme for obtaining a stationary sequence of discrete random variables which has p-th order Markov dependence and a specified marginal distribution is presented. This DAR(p) process, which is a particular p-th order Markov chain, has the physical and correlation structure of an autoregressive process of order p. The process and its transition matrix are determined by the specified marginal distribution and by several other parameters which, independently of the marginal distribution, determine the correlation structure. Correlational properties and initial conditions for stationarity of the process are studied. Asymptotic properties for the process are also obtained
Type
Technical Report
Description
Series/Report No
Department
Identifiers
NPS Report Number
NPS55-78-022
Sponsors
Office of Naval Research
Arlington, Virginia
Funder
N0001478WR80032
Format
Citation
Distribution Statement
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.