Author:
Chernick M. R.,Daley D. J.,Littlejohn R. P.
Abstract
The stationary non-negative Markov chains {Yn} and {Xn} specified by the relations
for {η n} a sequence of independent identically distributed (i.i.d.) random variables which are independent of {Yn}, and
for {ξ n} a sequence of i.i.d. random variables which are independent of {Xn}, are mutually time-reversed if and only if their common marginal distribution is exponential, relating the exponential autoregressive process of Gaver and Lewis (1980) to the exponential minification process of Tavares (1980).
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
26 articles.
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