Interaction information and Markov chain

Abstract

The problem of multivariate information analysis is considered. First, the interaction information in each dimension is defined analogously according to McGill [4] and then applied to Markov chains. The property of interaction information zero deeply relates to a certain class of weakly dependent random variables. For homogeneous, recurrent Markov chains with m states, m ≥ n ≥3, the zero criterion of n-dimensional interaction information is achieved only by ( n − 2)-dependent Markov chains, which are generated by some nilpotent matrices. Further for Gaussian Markov chains, it gives the decomposition rule of the variables into mutually correlated subchains.