An addendum to "A limitation of Markov representation for stationary processes"

Richard C. Bradley

Stochastic Processes and their Applications, 1993, vol. 47, issue 1, 159-166

Abstract: Strictly stationary random sequences are constructed which satisfy [phi];-mixing (and even a slightly stronger mixing condition) with an arbitrarily fast mixing rate (but not m-dependence), but which cannot be represented as an instantaneous function of a strictly stationary real Harris recurrent Markov chain. The examples here are a modification of similar ones constructed earlier by Berbee and the author which had an exponential mixing rate.

Keywords: strictly; stationary; [phi]-mixing; irreducible; Markov; chain (search for similar items in EconPapers)
Date: 1993
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