Clipped Gaussian processes are never M-step Markov

It is shown that the level-crossings process of zeroes and ones corresponding to a stationary but not independent Gaussian sequence can never be exactly (m-step) Markov, although its correlation-sequence can agree exactly with that of a Markov sequence.

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Year of publication:	1989
Authors:	Slud, Eric
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 29.1989, 1, p. 1-14
Publisher:	Elsevier
Keywords:	level-crossings process clipped process m-step Markov sequence

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005221504