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MONOTONICITY IN LAG FOR NONMONOTONE MARKOV CHAINS

Published online by Cambridge University Press:  01 October 2004

Rafał Kulik
Rafał Kulik
Affiliation:
Mathematical Institute, University of Wrocław, Wrocław, Poland, E-mail: rkuli@math.uni.wroc.pl, and, Department of Mathematics and Statistics, University of Ottawa, K1N 6N5 Ottawa, Ontario, Canada, E-mail: Rafal.Kulik@science.uottawa.ca
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Abstract

It is well known that for a stochastically monotone Markov chain {Jn}n≥1 a function γ(n) = Cov[f (J1),g(Jn)] is decreasing if f and g are increasing. We prove this property for a special subclass of nonmonotone double stochastic Markov chains.

Type
Research Article
Information
Probability in the Engineering and Informational Sciences , Volume 18 , Issue 4 , October 2004 , pp. 485 - 492
Copyright
© 2004 Cambridge University Press

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References

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