Discrete time series generated by mixtures III
Subtitle: autoregressive processes (DAR(p))
By: by P. A. Jacobs and P. A. W. Lewis
Contributors: Lewis, Peter A. W.; Naval Postgraduate School (U.S.)
Publisher: Naval Postgraduate School
Published: 1978
Place of publication: Monterey, California
Language: eng
Number of pages: 29
Subjects: Random variables; Time-series analysis; Probabilities
Description: 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.
Notes: Title from cover.

"NPS55-78-022"--Cover.

"September 1978"--Cover.

Includes bibliographical references (p. 29)

"Approved for public release; distribution is unlimited"--Cover.

Technical report; 1978.