Markov Chains

Abstract

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.