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Limiting second moments for transient states of Markov chains
H. P. Wynn
Journal:

Journal of Applied Probability / Volume 10 / Issue 4 / December 1973

Published online by Cambridge University Press:

14 July 2016, pp. 891-894

Print publication:

December 1973
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The set of transient states of a Markov chain is considered as a system. If numbers of arrivals to the system at discrete time points have constant mean and covariance matrix then there is a limiting distribution of numbers in the states. Necessary and sufficient conditions are given for this distribution to yield zero correlations between states.

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Limiting second moments for transient states of Markov chains