A family of stationary processes with infinite memory having the same p-marginals. Ergodic and spectral properties

• Autorzy: M. Courbage , D. Hamdan
• Języki publikacji: EN

Abstrakty

EN

We construct a large family of ergodic non-Markovian processes with infinite memory having the same p-dimensional marginal laws of an arbitrary ergodic Markov chain or projection of Markov chains. Some of their spectral and mixing properties are given. We show that the Chapman-Kolmogorov equation for the ergodic transition matrix is generically satisfied by infinite memory processes.

Kategorie tematyczne

• 28Dxx: Measure-theoretic ergodic theory
• 60Gxx: Stochastic processes

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Colloquium Mathematicum
• Rocznik: 2001
• Tom: 90
• Numer: 2
• Strony: 159-179

Daty

wydano

2001

Twórcy

autor

M. Courbage

• L.P.T.M.C., Université Paris 7, 2, Place Jussieu, 75251 Paris Cedex 05, France

autor

D. Hamdan

• Laboratoire de Probabilités, 4, Place Jussieu, 75252 Paris Cedex 05, France

Identyfikatory

DOI

10.4064/cm90-2-2