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On the Decrease in Dependence with Lag for Stationary Markov Chains

Published online by Cambridge University Press:  27 July 2009

Zhaoben Fang ,
Taizhong Hu  and
Harry Joe
Zhaoben Fang
Affiliation:
Department of Mathematics, University of Science and Technology of China, Hefei, Anhui 230026, People's Republic of China
Taizhong Hu
Affiliation:
Department of Mathematics, University of Science and Technology of China, Hefei, Anhui 230026, People's Republic of China
Harry Joe
Affiliation:
Department of Statistics, University of British Columbia, Vancouver, British Columbia, CanadaV6T 1Z2
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Abstract

Results and conditions that quantify the decrease in dependence with lag for stationary Markov chains are obtained. Notions of dependence that are used are the concordance or positive quadrant dependence ordering, measures of dependence based on ψ-divergences such as the relative entropy measure of dependence, and the Goodman-Kruskal measure of association. The general results are mainly for first-order Markov chains, but there are also some results for higher order Markov chains.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 8 , Issue 3 , July 1994 , pp. 385 - 401
Copyright
Copyright © Cambridge University Press 1994

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