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<p>This paper considers time series that represent a sequence of certain states, which can be modeled as a Markov chain. It assumes that the chain describing the time series can be presented as a mixture of arbitrary, ergodic, and independent Markov chains. A methodology for finding the coefficients of this mixture is proposed, based on the ergodic theorem.</p>

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Mixture of Ergodic Markov Chains

  • 期刊论文

  • 发表日期：

    2026年1月1日

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  • Ya. I. Yeleyko,
  • A. Y. Drebot

摘要

This paper considers time series that represent a sequence of certain states, which can be modeled as a Markov chain. It assumes that the chain describing the time series can be presented as a mixture of arbitrary, ergodic, and independent Markov chains. A methodology for finding the coefficients of this mixture is proposed, based on the ergodic theorem.