Abstract
Sequences of sums of identically distributed random variables forming a homogeneous Markov chain are approximated by a time-discrete autoregression process of Ornstein-Uhlenbeck type.
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Published in Ukrainskii Matematicheskii Zhurnal, Vol. 47, No. 7, pp. 928–935, July, 1995.
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Korolyuk, V.S., Korolyuk, D. Diffusion approximation of stochastic Markov models with persistent regression. Ukr Math J 47, 1065–1073 (1995). https://doi.org/10.1007/BF01084902
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DOI: https://doi.org/10.1007/BF01084902