Markov Sequence

A sequence , , ... of random variates is called Markov (or Markoff) if, for any ,

i.e., if the conditional distribution  of  assuming , , ...,  equals the conditional distribution  of  assuming only  (Papoulis 1984, pp. 528-529). The transitional densities of a Markov sequence satisfy the Chapman-Kolmogorov equation.

REFERENCES:

Papoulis, A. "Markoff Sequences." §15-3 in Probability, Random Variables, and Stochastic Processes, 2nd ed. New York: McGraw-Hill, pp. 528-535, 1984.