## Journal of Applied Probability

### Lumpings of Markov chains, entropy rate preservation, and higher-order lumpability

#### Abstract

A lumping of a Markov chain is a coordinatewise projection of the chain. We characterise the entropy rate preservation of a lumping of an aperiodic and irreducible Markov chain on a finite state space by the random growth rate of the cardinality of the realisable preimage of a finite-length trajectory of the lumped chain and by the information needed to reconstruct original trajectories from their lumped images. Both are purely combinatorial criteria, depending only on the transition graph of the Markov chain and the lumping function. A lumping is strongly k-lumpable, if and only if the lumped process is a kth-order Markov chain for each starting distribution of the original Markov chain. We characterise strong k-lumpability via tightness of stationary entropic bounds. In the sparse setting, we give sufficient conditions on the lumping to both preserve the entropy rate and be strongly k-lumpable.

#### Article information

Source
J. Appl. Probab., Volume 51, Number 4 (2014), 1114-1132.

Dates
First available in Project Euclid: 20 January 2015

https://projecteuclid.org/euclid.jap/1421763331

Mathematical Reviews number (MathSciNet)
MR3301292

Zentralblatt MATH identifier
1309.60077

#### Citation

Geiger, Bernhard C.; Temmel, Christoph. Lumpings of Markov chains, entropy rate preservation, and higher-order lumpability. J. Appl. Probab. 51 (2014), no. 4, 1114--1132. https://projecteuclid.org/euclid.jap/1421763331

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