A Classroom Note: Entropy, Information, and Markov Property

Zoran R. Pop-Stojanoviĉ

How to introduce the concept of the Markov Property in an elementary Probability Theory course? From this author's teaching experience, it appears that the best way that gives a natural intuitive flavor and preserves the mathematical rigor, is to use concepts of entropy and information from the classical Shannon Information Theory, as suggested in the brilliant monograph of A. Rényi [5]. Following this path, the connection between Entropy and Markov Property is presented.