Title :
Long range dependent Markov chains with applications
Author :
Barlas Oğuz;Venkat Anantharam
Author_Institution :
Department of Electrical Engineering and Computer Sciences, University of California, Berkeley, USA
Abstract :
We discuss functions of long range dependent Markov chains. We state sufficient conditions under which an instantaneous function of a long range dependent Markov chain has the same Hurst index as the underlying chain. We discuss several applications of the theorem in the fields of information theory, queuing networks, and finance.
Keywords :
"Markov processes","Indexes","Manganese","Source coding","Reactive power","Random processes"
Conference_Titel :
Information Theory and Applications Workshop (ITA), 2012
Print_ISBN :
978-1-4673-1473-2
DOI :
10.1109/ITA.2012.6181789
