On stationary Markov chains and independent random variables

A. Brandt, B. Lisek and O. Nerman

Stochastic Processes and their Applications, 1990, vol. 34, issue 1, 19-24

Abstract: Two new proofs are given for the fact that a stationary, irreducible, aperiodic Markov chain (Xn N = ..., -1,0,1,2...) with denumerable state space has a representation of the form X'n=g(Un-1, Un-2,...), where g is a measurable function, (Un, N= ..., -1,0,1,2,...) a sequence of independent random variables uniformly distributed on (0,1), and (X'n) has the same probability law as (Xn).

Keywords: Markov; chain; representation; i.i.d.; random; variables (search for similar items in EconPapers)
Date: 1990
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