## Autocorrelation of a simple Markov Chain

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

I need to get an expression of the autocorrelation of this Markov Chain in terms of a and b.

Is there a systematic way of obtaining the autocorrelation of higher order chains as well.

Thanks

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I think this would be better suited for math.stackexchange.com – PEV Mar 28 2011 at 3:32