Coding a stationary process to one with prescribed marginals (Q582687): Difference between revisions
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Latest revision as of 23:42, 19 March 2024
scientific article
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English | Coding a stationary process to one with prescribed marginals |
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Coding a stationary process to one with prescribed marginals (English)
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1989
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It is shown that any aperiodic automorphism T preserving the measure \(\mu\) has a partition \(\{P_ i:\) \(i\in {\mathbb{N}}\}\) so that \[ \mu (P_ i\cap t^{-1}P_ j)=\mu (P_ i)p_{ij}=\pi_ ip_{ij} \] where \((p_{ij}\), \(i,j\in {\mathbb{N}})\) denotes the transition probabilities of a given positive recurrent irreducible Markov chain with invariant initial distribution \((\pi_ i)_{i\in {\mathbb{N}}}\). In the case of a finite state space this theorem is a consequence of \textit{Chr. Grillenberger} and \textit{U. Krengel} [Math. Z. 149, 131-154 (1976; Zbl 0313.60029)].
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stationary process
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measure theoretic isomorphism
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positive recurrent irreducible Markov chain
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