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Examples of Markov Chains

  • Randal Douc
  • Eric Moulines
  • Pierre Priouret
  • Philippe Soulier
Chapter
Part of the Springer Series in Operations Research and Financial Engineering book series (ORFE)

Abstract

In this chapter we present various examples of Markov chains. We will often use these examples in the sequel to illustrate the results we will develop. Most of our examples are derived from time series models or Monte Carlo simulation methods. Many time series models belong to the class of random iterative functions that are introduced in Section 2.1. We will establish in this section some properties of these models and in particular will provide conditions under which these models have an invariant probability. In Section 2.2, we introduce the so-called observation-driven models, which have many applications in econometrics in particular.

Copyright information

© Springer Nature Switzerland AG 2018

Authors and Affiliations

  • Randal Douc
    • 1
  • Eric Moulines
    • 2
  • Pierre Priouret
    • 3
  • Philippe Soulier
    • 4
  1. 1.Département CITITelecom SudParisÉvryFrance
  2. 2.Centre de Mathématiques AppliquéesEcole PloytechniquePalaiseauFrance
  3. 3.Université Pierre et Marie CurieParisFrance
  4. 4.Université Paris NanterreNanterreFrance

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