Markov Chains

  • M. Rosenblatt
Part of the Graduate Texts in Mathematics book series (GTM, volume 17)


Thus far we have discussed models of independent observations. In fact, the most detailed and classical investigations in Probability Theory are centered about the notion of independence. However, there are many contexts which require models in which some notion of statistical dependence is basic. The simplest models of this sort are based on the Markov assumption. Even though this assumption does not appear to allow radical departures from independence, we shall later on see that the study of such Markov schemes or processes will give us great insight in studying various types of statistical dependence.


Markov Chain Transition Probability Matrix Recurrence Time Invariant Distribution Markov Assumption 
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Copyright information

© Springer-Verlag New York Inc. 1974

Authors and Affiliations

  • M. Rosenblatt
    • 1
  1. 1.Department of MathematicsUniversity of California, San DiegoLa JollaUSA

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