Wojciech Pieczynski

On marginal markovianity in gaussian pairwise Markov models

2023 · HAL (Le Centre pour la Communication Scientifique Directe)

We consider two discrete-time processes X and Y, the pair (X,Y) being Gaussian, homogeneous and Markovian. Such models, called "Gaussian homogeneous pairwise Markov models" (GH-PMMs), extend the classical Gaussian homogeneous hidden Markov models (GH-HMMs), also …