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Characterization of periodically correlated and multivariate stationary discrete time wide Markov processes

The aim of this paper is to give an overview of the structure of the class of discrete time wide Markov processes, either periodically correlated or multivariate stationary. We show many properties of their covariance, correlation and reflection coefficients matrices. We characterize these processes chiefly in terms of autoregressive models of order one. Illustrative numerical examples are given.
Year of publication:
2008
Authors: Castro, Glaysar ; Girardin, Valerie
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 78.2008, 2, p. 158-164
Publisher: Elsevier
Keywords: Autoregressive processes Multivariate stationary processes Non-stationary processes Periodically correlated processes Reflection coefficients Wide Markov processes
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005223988
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