Time Reversibility of Stationary Regular Finite State Markov Chains
We propose an alternate parameterization of stationary regular finite-state Markov chains, and a decomposition of the parameter into time reversible and time irreversible parts. We demonstrate some useful properties of the decomposition, and propose an index for a certain type of time irreversibility. Two empirical examples illustrate the use of the proposed parameter, decomposition and index. One involves observed states; the other, latent states.
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"Time reversibility of stationary regular finite-state Markov chains,"
Journal of Econometrics,
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