Notes - Copyright c 2009 by Karl Sigman 1 Time-reversible...

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Unformatted text preview: Copyright c 2009 by Karl Sigman 1 Time-reversible Markov chains In these notes we study positive recurrent Markov chains { X n : n ≥ } for which, when in steady-state (stationarity), yield the same Markov chain (in distribution) if time is reversed. The fundamental condition required is that for each pair of states i,j the long-run rate at which the chain makes a transition from state i to state j equals the long-run rate at which the chain makes a transition from state j to state i ; π i P i,j = π j P j,i . 1.1 Two-sided stationary extensions of Markov chains For a positive recurrent Markov chain { X n : n ∈ N } with transition matrix P and stationary distribution π , let { X * n : n ∈ N } denote a stationary version of the chain, that is, one in which X ∼ π . It turns out that we can extend this process to have time n take on negative values as well, that is, extend it to { X * n : n ∈ Z } . This is a way of imagining/assuming that the chain started off initially in the infinite past, and we call this a two-sided extension of our process. To get such an extension 1 we start by shifting the origin to be time k ≥ 1 and extending the process k time units into the past: Define X * n ( k ) = X * n + k ,- k ≤ n < ∞ . Note how { X * n ( k ) : n ∈ N } has the same distribution as { X * n : n ∈ N } by stationarity, and in fact this extension on- k ≤ n < ∞ is still stationary too. Now as k → ∞ , the process { X * n ( k ) :- k ≤ n < ∞} converges (in distribution) to a truly two-sided extension and it remains stationary; we get the desired two-sided stationary extension { X * n : n ∈ Z } . And for each time n ∈ Z it holds that P ( X * n = j ) = π j , j ∈ S . 1.2 Time-reversibility: Time-reversibility equations Let { X * n : n ∈ Z } be a two-sided extension of a positive recurrent Markov chain with transition matrix P and stationary distribution π . The Markov property is stated as “the future is independent of the past given the present state”, and thus can be re-stated as “the past is...
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This note was uploaded on 01/15/2012 for the course ECON 101 taught by Professor N/a during the Fall '11 term at Middlesex CC.

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Notes - Copyright c 2009 by Karl Sigman 1 Time-reversible...

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