Constructing Markov chains with given dependence and marginal stationary distributions
arXiv:2407.17682
Abstract
A method of constructing Markov chains on finite state spaces is provided. The chain is specified by three constraints: stationarity, dependence and marginal distributions. The generalized Pythagorean theorem in information geometry plays a central role in the construction. An algorithm for obtaining the desired Markov chain is described. Integer-valued autoregressive processes are considered for illustration.
arXiv comment20 pages, 2 figures