Language of teaching: English
We introduce Markov chains on gneral state spaces and focus on homogeneous Markov chains. We relate the stationarity property to invariant measures in this case and establish the strong Markov property. Then we introduce weakly stationary time series and establish their spectral representations.
We introduce Markov chains on gneral state spaces and focus on homogeneous Markov chains. We relate the stationarity property to invariant measures in this case and establish the strong Markov property. Then we introduce weakly stationary time series and establish their spectral representations.
- Enseignant: Carlos Alejandro Fernandez Sanz
- Enseignant: Yann Issartel
- Enseignant: Victor Priser
- Enseignant responsable de l'UE: François Roueff