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Correlation properties of the random linear high-order Markov chains

Author

Listed:
  • Vekslerchik, V.E.
  • Pritula, G.M.
  • Melnik, S.S.
  • Usatenko, O.V.

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.

Suggested Citation

  • Vekslerchik, V.E. & Pritula, G.M. & Melnik, S.S. & Usatenko, O.V., 2019. "Correlation properties of the random linear high-order Markov chains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 528(C).
    • Handle: RePEc:eee:phsmap:v:528:y:2019:i:c:s0378437119308829
    DOI: 10.1016/j.physa.2019.121477
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    Cited by:

    1. Yuan, Jiahang & Wang, Li & Li, Yating & Wang, Yuwei & Ma, Tao & Luo, Xinggang, 2022. "Set pair prediction for Chinese natural gas energy security based on higher-order Markov chain with risk attitude," Resources Policy, Elsevier, vol. 77(C).

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