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.

MoreLess

Year of publication:	2004
Authors:	McCAUSLAND, William J.
Institutions:	Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ)
Subject:	finite-state Markov chains \| time reversibility \| bayesian inference \| hidden Markov models

More details

Extent:	application/pdf
Series:	Cahiers de recherche.
Type of publication:	Book / Working Paper
Notes:	27 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005545621