马尔可夫过程的非因果性与边缘化

Noncausality and Marginalization of Markov Processes

Econometric Theory · 1993
被引 24
人大 A-ABS 4

中文导读

证明马尔可夫过程的子过程在满足非因果性条件时也是马尔可夫的,并分析了时间范围(有限或无限)对非因果性的影响,给出了相关条件与反例。

Abstract

In this paper it is shown that a subprocess of a Markov process is markovian if a suitable condition of noncausality is satisfied. Furthermore, a markovian condition is shown to be a natural condition when analyzing the role of the horizon (finite or infinite) in the property of noncausality. We also give further conditions implying that a process is both jointly and marginally markovian only if there is both finite and infinite noncausality and that a process verifies both finite and infinite noncausality only if it is markovian. Counterexamples are also given to illustrate the cases where these further conditions are not satisfied.

马尔可夫过程非因果性边缘化子过程