Correlation properties of the random linear high-order Markov chains

V.E. Vekslerchik, G.M. Pritula, S.S. Melnik and O.V. Usatenko

Physica A: Statistical Mechanics and its Applications, 2019, vol. 528, issue C

Abstract: The aim of this paper is to study the correlation properties of random sequences with additive linear conditional probability distribution function (CPDF) and elaborate a reliable tool for their generation. It is supposed that the state space of the sequence under examination belongs to a finite set of real numbers. The CPDF is assumed to be additive and linear with respect to the values of the random variable. We derive the equations that relate the correlation functions of the sequence to the memory function coefficients, which determine the CPDF. The obtained analytical solutions for the equations connecting the memory and correlation functions are compared with the results of numerical simulation. Examples of possible correlation scenarios in the high-order additive linear chains are given.

Keywords: Random sequences; High-order Markov chains; Linear additive Markov chain; Memory function; Correlation functions; Long-range memory (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:528:y:2019:i:c:s0378437119308829

DOI: 10.1016/j.physa.2019.121477

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