Statistical and spectral properties of irreducible Markov chains

Author

Anastassopoulos, Vassilis

Author_Institution

Electron. Lab., Patras Univ., Greece

Volume

2

fYear

2002

fDate

2002

Firstpage

1065

Abstract

The spectral and high order statistical characteristics of irreducible Markov chains are studied. A Markov chain, which corresponds to a single-class state-space, is completely determined by its transition matrix. The paper explains analytically how the type of probability density function (PDF), describing the Markov chain, is determined by its transition matrix. Furthermore, it is shown that the correlation properties (power spectrum) and the high order spectra (HOS) of the Markov chain are also expressed by means of specific terms of the transition matrix.

Keywords

Markov processes; higher order statistics; matrix algebra; probability; signal processing; spectral analysis; HOS; PDF; correlation properties; higher order statistics; irreducible Markov chains; power spectrum; probability density function; spectral properties; statistical signal processing; transition matrix; transition probability; Digital systems; Eigenvalues and eigenfunctions; Laboratories; Physics; Probability density function; Random processes; Random variables; State-space methods; Stochastic processes; Terminology;

fLanguage

English

Publisher

ieee

Conference_Titel

Digital Signal Processing, 2002. DSP 2002. 2002 14th International Conference on

Print_ISBN

0-7803-7503-3

Type

conf

DOI

10.1109/ICDSP.2002.1028274

Filename

1028274