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Diffusion approximation of stochastic Markov models with persistent regression

Sequences of sums of identically distributed random variables forming a homogeneous Markov chain are approximated by a time-discrete autoregression process of Ornstein-Uhlenbeck type.

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Bibliographic Details
Main Authors: Koroliuk, D., Korolyuk, V.S.
Format: Article
Language:English
Published: Інститут математики НАН України 1995
Series:Український математичний журнал
Subjects:
Online Access:http://dspace.nbuv.gov.ua/handle/123456789/164225
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Description
Summary:Sequences of sums of identically distributed random variables forming a homogeneous Markov chain are approximated by a time-discrete autoregression process of Ornstein-Uhlenbeck type.