Time Reversibility of Stationary Regular Finite State Markov Chains

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.

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Year of publication:	2004
Authors:	McCAUSLAND, William
Institutions:	Département de Sciences Économiques, Université de Montréal
Subject:	Finite-state Markov chains \| Time reversibility \| Bayesian inference \| Hidden Markov Models

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Extent:	application/pdf
Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	24 pages
Classification:	C11 - Bayesian Analysis ; C13 - Estimation ; C22 - Time-Series Models ; E32 - Business Fluctuations; Cycles
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005353406