Approximation of Markov stationary sequences in stochastic control problems (Q1882028)
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scientific article; zbMATH DE number 2108563
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation of Markov stationary sequences in stochastic control problems |
scientific article; zbMATH DE number 2108563 |
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Approximation of Markov stationary sequences in stochastic control problems (English)
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18 October 2004
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This paper is concerned with the decomposition of a Markov stationary sequence as a sum of a \(p\)th-order autoregressive sequence and a stationary Gaussian sequence . The author constructs the decomposition using an optimization method and interprets the statistical meaning of the coefficients of the approximation.
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Markov stationary sequences
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autoregressive sequences
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approximation
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decomposition
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