EXTENSIONS TO THEORY OF TIME SERIES ANALYSIS.

Abstract

A type of stochastic process, called a regime process, based upon the presence of intervals of statistical regularity, is defined and its properties are studied. Measurability of the process, its finite-dimensional distributions, stationarity, limiting behavior and ergodicity are considered. A detailed study is made of the case when the regime process is based on an underlying Markov chain, and a procedure for estimating the distribution of the underlying process is discussed. (Author)

Document Details

Document Type
Technical Report
Publication Date
Feb 01, 1967
Accession Number
AD0812255

Entities

People

  • Rolf K. Adenstedt
  • Walter F. Freiberger

Organizations

  • Brown University

Tags

Communities of Interest

  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Ergodic Processes
  • Intervals
  • Markov Chains
  • Mathematics
  • Stochastic Processes
  • Time Series Analysis

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.
  • Theoretical Analysis.