Constructing Markov chains with given dependence and marginal stationary distributions

Tomonari Sei

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arXiv · 2407.17682

Constructing Markov chains with given dependence and marginal stationary distributions

Tomonari Sei

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Abstract

A method of constructing Markov chains on finite state spaces is provided. The chain is specified by three constraints: stationarity, dependence and marginal distributions. The generalized Pythagorean theorem in information geometry plays a central role in the construction. An algorithm for obtaining the desired Markov chain is described. Integer-valued autoregressive processes are considered for illustration.

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Tomonari Sei. 2024-07-25. Constructing Markov chains with given dependence and marginal stationary distributions. https://arxiv.org/abs/2407.17682

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