統計数学セミナー
Seminar on Probability and Statistics |
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Seminar on Probability and Statistics Wednesday April 28 2010 Tokyo 002 3:00-4:10 pm
A Markov process for circular data
加藤 昇吾 / KATO, Shogo 統計数理研究所 / The Institute of Statistical Mathematics Abstract 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. The proposed model is
compared with an existing Markov process for circular data. A simulation
study is made to illustrate the mathematical properties of the model.
Statistical inference for the process is briefly considered.
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