Is there a simple way to approximate a Markov Chain as an Autoregressive Process, for instance, an AR(1) process?
I am aware that it is easy to approximate an AR(1) process with a Markov Chain, but I am not sure about the converse.
Thanks.
Is there a simple way to approximate a Markov Chain as an Autoregressive Process, for instance, an AR(1) process?
I am aware that it is easy to approximate an AR(1) process with a Markov Chain, but I am not sure about the converse.
Thanks.