Long range dependent Markov chains with applications

Information Theory and Applications Workshop（2012）

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摘要

We discuss functions of long range dependent Markov chains. We state sufficient conditions under which an instantaneous function of a long range dependent Markov chain has the same Hurst index as the underlying chain. We discuss several applications of the theorem in the fields of information theory, queuing networks, and finance.

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关键词

Markov processes,Hurst index,Markov chains,information theory,sufficient conditions

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