Source: J. Appl. Probab. Volume 49, Number 2
(2012), 451-471.
A positive recurrent, aperiodic Markov chain is said to be long-range dependent
(LRD) when the indicator function of a particular state is LRD. This happens if
and only if the return time distribution for that state has infinite variance.
We investigate the question of whether other instantaneous functions of the
Markov chain also inherit this property. We provide conditions under which the
function has the same degree of long-range dependence as the chain itself. We
illustrate our results through three examples in diverse fields: queueing
networks, source compression, and finance.
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