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Markov symmetric stable processes

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Abstract

Using the method of generative processes, we construct a model of a random linear symmetric stable Markov process, which is a natural generalization of the Markov Gaussian process and preserves its main property: invariance with respect to arbitrary linear transformations. Methods for analyzing such processes are developed. In particular, it is proposed to use the information correlation function as a characteristic of the pair dependence between the process values at different times. This function is used to calculate the determination interval of the process.

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Additional information

Voronezh State University, Voronezh, Russia. Translated from Izvestiya Vysshikh Uchebnykh Zavedenii, Radiofizika, Vol. 43, No. 3, pp. 264–270, March, 2000

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Moiseev, S.N. Markov symmetric stable processes. Radiophys Quantum Electron 43, 238–244 (2000). https://doi.org/10.1007/BF02677188

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  • DOI: https://doi.org/10.1007/BF02677188

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