- Thread starter noetsi
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But I suspect you could do this a lot better using Markov models. MCMC I already know about and can run. Its not what I am interested in.

1) an introductory book where all major properties of discrete-time and continuous-time Markov chains are nicely laid out

or

2) a more advanced book showing applications of Markov chains to real-life processes?

Or are you interested in most general Markov processes, where the state space is continuous?

will serve as a rigorous introduction into Markov chains and closely related stochastic processes. Later on, when you solve actual problems, you may fall back on

who has some of the properties compiled more concisely. For an interesting example of applying Markov chains to credit rating migrations (Moody's, S&P), see

The book also contains applications in the area of default modeling.