From two-state jump to Gaussian stochastic processes

Kishiko Maruyama and Fumiaki Shibata

Physica A: Statistical Mechanics and its Applications, 1988, vol. 149, issue 3, 447-471

Abstract: A stochastic process, which bridges the two-state jump Markoff process and the Gaussian process, is introduced and fundamental properties of the process are fully analyzed. The resulting expressions are combined with the “partial cumulant” expansion formula to give an exact power spectrum in the form of a continued fraction. A rigorous expression is also obtained for a relaxation function in an analytic form.

Date: 1988
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:149:y:1988:i:3:p:447-471

DOI: 10.1016/0378-4371(88)90115-X

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