EXTENSIONS TO THEORY OF TIME SERIES ANALYSIS.
Quarterly rept. no. 3, 1 Feb-30 Apr 66,
BROWN UNIV PROVIDENCE RI DIV OF APPLIED MATHEMATICS
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We consider a stationary stochastic process X sub t t 0,1,... based upon the presence of weather regimes in which the regime indices K sub t t 0,1,... form a finite-state stationary ergodic first-order Markov chain. The probabilistic problem was considered in previous reports. Here, we now consider the problem of estimating the transition matrix P p sug ij 1 or i,j or N when N and the finite-dimensional joint distribution functions of the X-process are known. Author
- Statistics and Probability