Discrete time series generated by mixtures III: Autoregressive processes (DAR(p))

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