Time Reversibility of Stationary Regular Finite State Markov Chains

William Mccausland ()

Cahiers de recherche from Centre interuniversitaire de recherche en économie quantitative, CIREQ

Abstract: We propose an alternate parameterization of stationary regular finite-state Markov chains, and a decomposition of the parameter into time reversible and time irreversible parts. We demonstrate some useful properties of the decomposition, and propose an index for a certain type of time irreversibility. Two empirical examples illustrate the use of the proposed parameter, decomposition and index. One involves observed states; the other, latent states.

Keywords: Finite-state Markov chains; time reversibility; bayesian inference; hidden markov models (search for similar items in EconPapers)
JEL-codes: C11 C13 C22 E32 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: Written 2004
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http://www.cireq.umontreal.ca/publications/09-2004-cah.pdf (application/pdf)

Related works:
Working Paper: Time Reversibility of Stationary Regular Finite State Markov Chains (2004)
Journal Article: Time reversibility of stationary regular finite-state Markov chains (2007)
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