Abstract
The Markovian arrival process generalizes the Poisson process by allowing for dependent and nonexponential interarrival times. We study the autocorrelation function of the two-state Markovian arrival process. Our findings show that the correlation structure of such a process has a very specific pattern, namely, it always converges geometrically to zero. Moreover, the signs of the autocorrelation coefficients are either constant or alternating.
Citation
Pepa Ramírez-Cobo. Emilio Carrizosa. "A note on the dependence structure of the two-state Markovian arrival process." J. Appl. Probab. 49 (1) 295 - 302, March 2012. https://doi.org/10.1239/jap/1331216848
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