A note on the equivalence of two approaches for specifying a Markov process

K S Chan; H Tong

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A note on the equivalence of two approaches for specifying a Markov process

Journal article

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A note on the equivalence of two approaches for specifying a Markov process

K S Chan and H Tong

Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, Vol.8(1), pp.117-122

02/01/2002

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Abstract

The probabilistic structure of a discrete-time (high-order) vector Markov process may be studied using two approaches. In the first approach, the Markov process is specified by the transition probability and the initial distribution. An alternative approach is via a stochastic difference equation. We have proved that these two approaches are equivalent under very mild conditions.

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Details

Title: Subtitle: A note on the equivalence of two approaches for specifying a Markov process
Creators: K S Chan
H Tong
Resource Type: Journal article
Publication Details: Bernoulli : official journal of the Bernoulli Society for Mathematical Statistics and Probability, Vol.8(1), pp.117-122
Publisher: INT STATISTICAL INST
ISSN: 1350-7265
Number of pages: 6
Language: English
Date published: 02/01/2002
Academic Unit: Statistics and Actuarial Science; Radiology
Record Identifier: 9984257746002771

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