A Markov process for circular data
A Markov process for circular data
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DOI：
10.1111/j.1467-9868.2010.00748.x
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发表时间：
2010-01-01
影响因子：
5.8
通讯作者：
Kato, Shogo
中科院分区：
文献类型：
--
作者：
Kato, Shogo
我们提出了一个离散时间马尔可夫过程，单位圆上的值。研究了该过程的极限行为和遍历性。与此过程相关的许多计算被证明是大大简化，如果模型的变量和参数表示在复数方面。进一步讨论了一些子模型，特别是平稳过程。该模型与现有的一些马尔可夫过程的循环数据进行了比较。模型的一些统计问题，如统计推断，模型选择和诊断检查，被认为是。最后，该模型的风向数据的应用。
We propose a discrete time Markov process which takes values on the unit circle. Some properties of the process, including the limiting behaviour and ergodicity, are investigated. Many computations associated with this process are shown to be greatly simplified if the variables and parameters of the model are represented in terms of complex numbers. A further discussion is given on some submodels, in particular on the stationary process. The proposed model is compared with some existing Markov processes for circular data. Some statistical issues of the model, such as statistical inference, model selection and diagnostic checks, are considered. Finally, an application of the model to wind direction data is provided.