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An addendum to "A limitation of Markov representation for stationary processes"

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  • Bradley, Richard C.

Abstract

Strictly stationary random sequences are constructed which satisfy [phi];-mixing (and even a slightly stronger mixing condition) with an arbitrarily fast mixing rate (but not m-dependence), but which cannot be represented as an instantaneous function of a strictly stationary real Harris recurrent Markov chain. The examples here are a modification of similar ones constructed earlier by Berbee and the author which had an exponential mixing rate.

Suggested Citation

  • Bradley, Richard C., 1993. "An addendum to "A limitation of Markov representation for stationary processes"," Stochastic Processes and their Applications, Elsevier, vol. 47(1), pages 159-166, August.
    • Handle: RePEc:eee:spapps:v:47:y:1993:i:1:p:159-166
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