Geometric ρ-Mixing Property of the Interarrival Times of a Stationary Markovian Arrival Process

Abstract

In this note, the sequence of the interarrivals of a stationary Markovian arrival process is shown to be ρ-mixing with a geometric rate of convergence when the driving process is ρ-mixing. This provides an answer to an issue raised in the recent work of Ramirez-Cobo and Carrizosa (2012) on the geometric convergence of the autocorrelation function of the stationary Markovian arrival process.