The Dispersion of the Gauss-Markov Source

Peida Tian, Victoria Kostina

The Gauss-Markov source produces $U_i=a{U}_{i-1}+Z_i$ for $i\ge 1$, where $U_0=0$, $|a|<1$ and $Z_i\sim \mathcal{N}(0,{\sigma }^2)$ are i.i.d. Gaussian random variables. We consider l…