A limitation of Markov representation for stationary processes

H. C. P. Berbee and R. C. Bradley

Stochastic Processes and their Applications, 1984, vol. 18, issue 1, 33-45

Abstract: The existence of a representation of a stationary process as an instantaneous function of a real, irreducible Markov chain (Harris chain) imposes important restrictions on the distribution of the process. We construct a countably-valued stationary process with a very strong mixing property for which such a representation does not exist.

Keywords: instantaneous; function; of; irreducible; Markov; chain; strictly; stationary; [psi]*-mixing; entropy (search for similar items in EconPapers)
Date: 1984
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