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On the Markov property of a finite hidden Markov chain

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  • Spreij, Peter

Abstract

In this paper we study the question of the conditions under which a hidden Markov chain itself exhibits Markovian behaviour. An insightful method to answer this question is based on a recursive filtering formula for the underlying chain.

Suggested Citation

  • Spreij, Peter, 2001. "On the Markov property of a finite hidden Markov chain," Statistics & Probability Letters, Elsevier, vol. 52(3), pages 279-288, April.
    • Handle: RePEc:eee:stapro:v:52:y:2001:i:3:p:279-288
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    References listed on IDEAS

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    1. Rubino, Gerardo & Sericola, Bruno, 1993. "A finite characterization of weak lumpable Markov processes. Part II: The continuous time case," Stochastic Processes and their Applications, Elsevier, vol. 45(1), pages 115-125, March.
    2. Spreij, Peter, 1998. "A representation result for finite Markov chains," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 183-186, June.
    3. Ledoux, James, 1995. "On weak lumpability of denumerable Markov chains," Statistics & Probability Letters, Elsevier, vol. 25(4), pages 329-339, December.
    4. Rubino, Gerardo & Sericola, Bruno, 1991. "A finite characterization of weak lumpable Markov processes. Part I: The discrete time case," Stochastic Processes and their Applications, Elsevier, vol. 38(2), pages 195-204, August.
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    Cited by:

    1. Spreij, Peter, 2003. "On hidden Markov chains and finite stochastic systems," Statistics & Probability Letters, Elsevier, vol. 62(2), pages 189-201, April.
    2. Stephan Schwill, 2018. "Entropy Analysis of Financial Time Series," Papers 1807.09423, arXiv.org.

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