Dynkin's Isomorphism with Sign Structure
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Publication:6207776
arXiv0712.1372MaRDI QIDQ6207776FDOQ6207776
Publication date: 9 December 2007
Abstract: The Dynkin isomorphism associates a Gaussian field to a Markov chain. These Gaussian fields can be used as priors for prediction and time series analysis. Dynkin's construction gives Gaussian fields with all non-negative covariances. We extend Dynkin's construction (by introducing a sign structure on the Markov chain) to allow general covariance sign patterns.
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