A family of stationary processes with infinite memory having the same p-marginals. Ergodic and spectral properties
M. Courbage ; D. Hamdan
Colloquium Mathematicae, Tome 89 (2001), p. 159-179 / Harvested from The Polish Digital Mathematics Library
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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.

Publié le : 2001-01-01
EUDML-ID : urn:eudml:doc:284364 
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M. Courbage; D. Hamdan. A family of stationary processes with infinite memory having the same p-marginals. Ergodic and spectral properties. Colloquium Mathematicae, Tome 89 (2001) pp. 159-179. http://gdmltest.u-ga.fr/item/bwmeta1.element.bwnjournal-article-doi-10_4064-cm90-2-2/