The evolution of aggregated Markov chains

Wolfgang Stadje

Statistics & Probability Letters, 2005, vol. 74, issue 4, 303-311

Abstract: For a stationary two-sided Markov chain with finite state-space I and a partition we consider the aggregated sequence defined by Yn=[nu] if Xn[set membership, variant]I[nu], which is also stationary but in general not Markovian. We present a tractable way to determine the transition probabilities of , either given a finite part of its past or given its infinite past. These probabilities are linked to the Radon-Nikodym derivative of PUnXn=i with respect to PUn, where .

Keywords: Aggregated; Markov; chain; Stationary; sequence; Prediction; Conditional; probability (search for similar items in EconPapers)
Date: 2005
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167-7152(05)00188-4
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:74:y:2005:i:4:p:303-311

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().