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A time-reversibility relationship between two Markov chains with exponential stationary distributions

Published online by Cambridge University Press:  14 July 2016

M. R. Chernick,
D. J. Daley and
R. P. Littlejohn
M. R. Chernick*
Affiliation:
Aerospace Corporation, Los Angeles
D. J. Daley*
Affiliation:
Australian National University
R. P. Littlejohn*
Affiliation:
Invermay Agricultural Research Centre
*
∗ Postal address: The Aerospace Corporation, P.O. Box 92957, Los Angeles, CA 90009, USA.
∗∗ Postal address: Statistics Department (IAS), The Australian National University, G.P.O. Box 4, Canberra, ACT 2601, Australia.
∗∗∗ Postal address: Biometrics Section, Invermay ARC, Private Bag, Mosgiel, New Zealand.
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Abstract

The stationary non-negative Markov chains {Yn } and {Xn } specified by the relations for {η n } a sequence of independent identically distributed (i.i.d.) random variables which are independent of {Yn }, and for {ξ n } a sequence of i.i.d. random variables which are independent of {Xn }, are mutually time-reversed if and only if their common marginal distribution is exponential, relating the exponential autoregressive process of Gaver and Lewis (1980) to the exponential minification process of Tavares (1980).

Keywords

AUTOREGRESSIVE PROCESSEXPONENTIAL DISTRIBUTIONCHARACTERIZATION

Information

Type
Short Communications
Information
Journal of Applied Probability , Volume 25 , Issue 2 , June 1988, pp. 418 - 422
Copyright
Copyright © Applied Probability Trust 1988 

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Footnotes

Work done in part while visiting the Mathematical Institute, Oxford, with partial support of the Science and Engineering Council.

Work done during the tenure of a Ph.D. scholarship from the Australian National University.

References

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