Autocorrelation Function Characterization of Continuous Time Markov Chains
Probability
2019-08-27 v1
Abstract
We study certain properties of the function space of autocorrelation functions of Unit Continuous Time Markov Chains (CTMCs). It is shown that under particular conditions, the norm of the autocorrelation function of arbitrary finite state space CTMCs is infinite. Several interesting inferences are made for point processes associated with CTMCs/ Discrete Time Markov Chains (DTMCs).
Cite
@article{arxiv.1908.09284,
title = {Autocorrelation Function Characterization of Continuous Time Markov Chains},
author = {G. Rama Murthy and Douglas G. Down},
journal= {arXiv preprint arXiv:1908.09284},
year = {2019}
}