Autocorrelation of a simple Markov Chain - MathOverflow most recent 30 from http://mathoverflow.net2013-06-20T07:51:01Zhttp://mathoverflow.net/feeds/question/59791http://www.creativecommons.org/licenses/by-nc/2.5/rdfhttp://mathoverflow.net/questions/59791/autocorrelation-of-a-simple-markov-chainAutocorrelation of a simple Markov Chainnaman2011-03-28T02:43:17Z2011-03-28T02:43:17Z
<p>Hi,
I have a two state Markov Chain with an arbitrary transition Matrix. The states are {0,1}
So I have p00 = a, p01 = 1-a, p10 = b and p11 = 1-b</p>
<p>I need to get an expression of the autocorrelation of this Markov Chain in terms of a and b.</p>
<p>Is there a systematic way of obtaining the autocorrelation of higher order chains as well.</p>
<p>Thanks</p>