GAUSSIAN MARKOV SEQUENCES
St. Petersburg State University of Aerospace Instrumentation, Department of Information Network Technologies;
N. V. Girina
St. Petersburg State University of Aerospace Instrumentation, Department of Information and Network Technologies; Post-Graduate Student
L. A. Osipov
St. Petersburg State University of Aerospace Instrumentation, Department of Information Network Technologies; Professor
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Abstract. The accuracy matrix for Gaussian Markov sequence of k-th order is shown to be ( 2k +1)-diagonal. Non- Markov processes are approximated by Markov sequences with retained principle diagonals of accuracy matrix.
Keywords:
Gaussian Markov sequence, ( 2k +1)-diagonal matrix, accuracy matrix, k-th order sequence.
