Explicitly Sample-Equivalent Dynamic Models for Gaussian Markov, Reciprocal, and Conditionally Markov Sequences

Reza Rezaie, X. Rong Li

Published 2018-11-19, updated 2019-12-03Version 2

The conditionally Markov (CM) sequence contains different classes including Markov, reciprocal, and so-called $CM_L$ and $CM_F$ (two special classes of CM sequences). Each class has its own forward and backward dynamic models. The evolution of a CM sequence can be described by different models. For example, a Markov sequence can be described by a Markov model, as well as by reciprocal, $CM_L$, and $CM_F$ models. Also, sometimes a forward model is available, but it is desirable to have a backward model for the same sequence (e.g., in smoothing). Therefore, it is important to study relationships between different dynamic models of a CM sequence. This paper discusses such relationships between models of nonsingular Gaussian (NG) $CM_L$, $CM_F$, reciprocal, and Markov sequences. Two models are said to be explicitly sample-equivalent if not only they govern the same sequence, but also a one-one correspondence between their sample paths is made explicitly. A unified approach is presented, such that given a forward/backward $CM_L$/$CM_F$/reciprocal/Markov model, any explicitly equivalent model can be obtained. As a special case, a backward Markov model explicitly equivalent to a given forward Markov model can be obtained regardless of the singularity/nonsingularity of the state transition matrix of the model.