Characterization of vector valued, gaussian, stationary, markov processes
β Scribed by Henryk Gzyl
- Publisher
- Elsevier Science
- Year
- 1987
- Tongue
- English
- Weight
- 187 KB
- Volume
- 6
- Category
- Article
- ISSN
- 0167-7152
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π SIMILAR VOLUMES
Suppose that [z(t)] is a non-Gaussian vector stationary process with spectral density matrix f (\*). In this paper we consider the testing problem H: ? &? K[ f (\*)] d\*=c against A: ? &? K[ f (\*)] d\*{c, where K[ } ] is an appropriate function and c is a given constant. For this problem we propose
For a vector-valued Markov decision process with discounted reward criterion, we introduce a new class of policies called the semi-stationary policies and show that an optimal semi-stationary policy that attains the extreme points of the set of rewards induced by all policies can be described as a c