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. (Author)

Open PDF

Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1978
Accession Number
ADA062208

Entities

People

  • P. A. Jacobs
  • Peter A.W. Lewis

Organizations

  • Naval Postgraduate School

Tags

DTIC Thesaurus Topics

  • California
  • Data Science
  • Engineering
  • Equations
  • Information Science
  • Markov Chains
  • Military Research
  • New York
  • Probability
  • Random Variables
  • Sequences
  • Stationary
  • Stationary Processes
  • Statistics
  • Stochastic Processes
  • Transitions
  • Universities

Fields of Study

  • Mathematics

Readers

  • Mathematical Modeling and Probability Theory.