- Dependent Stochastic Processes and Time Series
Miguel F. Acevedo · 2012
In this chapter, we continue the study of random processes initiated in Chapter 7. As you recall in that chapter, we assumed that the values at any time t are independent of the values at previous times. In this chapter, we will relax this assumption to allow for the value at time t to be dependent on values at previous times. Therefore, the value at time t is conditioned on the history of the process.