Long-range dependence of Markov chains in discrete time on countable state space
Date
2007
Authors
Carpio, Kristine
Daley, Daryl
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Publisher
Applied Probability Trust
Abstract
When {Xn} is an irreducible, stationary, aperiodic Markov chain on the countable state space χ = {i, j, ...}, the study of long-range dependence of any square integrable functional {Yn} := {yX n} of the chain, for any real-valued function {yi : i ε χ},
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Keywords
Keywords: Functional; Hurst index; Long-range dependence; Markov chain; Moment index
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Source
Journal of Applied Probability
Type
Journal article
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Restricted until
2037-12-31
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