Constructing Markov chains with given dependence and marginal stationary distributions
Statistics Theory
2024-07-26 v1 Statistics Theory
Abstract
A method of constructing Markov chains on finite state spaces is provided. The chain is specified by three constraints: stationarity, dependence and marginal distributions. The generalized Pythagorean theorem in information geometry plays a central role in the construction. An algorithm for obtaining the desired Markov chain is described. Integer-valued autoregressive processes are considered for illustration.
Cite
@article{arxiv.2407.17682,
title = {Constructing Markov chains with given dependence and marginal stationary distributions},
author = {Tomonari Sei},
journal= {arXiv preprint arXiv:2407.17682},
year = {2024}
}
Comments
20 pages, 2 figures