Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5129644 | Statistics & Probability Letters | 2017 | 8 Pages |
Abstract
We derive a sufficient condition for a kth order homogeneous Markov chain Z with finite alphabet Z to have a unique invariant distribution on Zk. Specifically, let X be a first-order, stationary Markov chain with finite alphabet X and a single recurrent class, let g:XâZ be non-injective, and define the (possibly non-Markovian) process Y:=g(X) (where g is applied coordinate-wise). If Z is the kth order Markov approximation of Y, its invariant distribution is unique. We generalize this to non-Markovian processes X.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Bernhard C. Geiger,