Dynkin's Isomorphism with Sign Structure
Statistics Theory
2007-12-11 v1 Statistics Theory
Abstract
The Dynkin isomorphism associates a Gaussian field to a Markov chain. These Gaussian fields can be used as priors for prediction and time series analysis. Dynkin's construction gives Gaussian fields with all non-negative covariances. We extend Dynkin's construction (by introducing a sign structure on the Markov chain) to allow general covariance sign patterns.
Cite
@article{arxiv.0712.1372,
title = {Dynkin's Isomorphism with Sign Structure},
author = {Kshitij Khare},
journal= {arXiv preprint arXiv:0712.1372},
year = {2007}
}