Time Reversibility of Stationary Regular Finite State Markov Chains

William McCausland ()

Cahiers de recherche from Universite de Montreal, Departement de sciences economiques

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)
Pages: 24 pages
Date: 2004
New Economics Papers: this item is included in nep-ecm and nep-ets
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://hdl.handle.net/1866/521 (application/pdf)

Related works:
Journal Article: Time reversibility of stationary regular finite-state Markov chains (2007)
Working Paper: Time Reversibility of Stationary Regular Finite State Markov Chains (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:mtl:montde:2004-07

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