Author:
Brockwell P. J.,Resnick S. I.,Pacheco-Santiago N.
Abstract
A study is made of the maximum, minimum and range on [0, t] of the integral process where S is a finite state-space Markov chain. Approximate results are derived by establishing weak convergence of a sequence of such processes to a Wiener process. For a particular family of two-state stationary Markov chains we show that the corresponding centered integral processes exhibit the Hurst phenomenon to a remarkable degree in their pre-asymptotic behaviour.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
7 articles.
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