Markovian chi-square and gamma processes

S. R. Adke and N. Balakrishna

Statistics & Probability Letters, 1992, vol. 15, issue 5, 349-356

Abstract: A sequence {Xn, n [greater-or-equal, slanted] 1} of random variables such that each Xn has chi-square or gamma distribution can be generated from independent Gaussian sequences. We study the properties of such sequences. The Markov property of gamma and chi-square sequences is characterized. The extension of these results to continuous time processes is indicated. A general gamma Markov model based on sums of random numbers of independent exponential and gamma random variables is formulated and its properties are investigated.

Keywords: Covariance; function; Gaussian; sequence; Markov; property; m-dependence; non-central; chi-square; distribution; seasonal; stationarity (search for similar items in EconPapers)
Date: 1992
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