ГЕНЕРИРОВАНИЕ ГАУССОВЫХ МАРКОВСКИХ ПОСЛЕДОВАТЕЛЬНОСТЕЙ

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  • 4, 2006

    4

    519.2

    . . . . . . . . . . , . , . . . . . . . . . . ,

    . 2n1 n . . n .

    Correlation matrices and precision matrices of Markov Gauss sequences are analyzed. We provethat the precision matrix of an order n Markov sequence has the 2n1diagonals property. NonMarkovprocesses are approximated by Markov sequences via retaining the principal diagonals of the precisionmatrix. Also, we develop some procedures to generate order n Markov sequences.

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  • 4, 2006 5

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  • 4, 20066

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  • 4, 2006 7

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  • 4, 20068

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  • 4, 2006 9

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    1. . ., . . '. .: . , 1977. 488 .

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    3. . . . ' . .: , 1985.640 .

    4. . . MATLAB: . ..: , 1997. 350 .

    5. . . ' : . . // . . . II. . / . ., 2006.. 257260.

    6. . . . .:. , 1966. 679 .

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