Hi Wong,
Thanks for your quick reply! If I understood correctly, all I need to prove that it isn't a Markov Process is a counterexample that shows that P(X_{3(m-1)+3}=1|X_{3(m-1)+2}=1 \mbox{ and }X_{3(m-1)+1}=1) doesn't equal P(X_{3(m-1)+3}=1|X_{3(m-1)+2}=1). For m = 1, P(X_{3}=1|X_{2}=1...
I've been trying to solve this problem for a week now, but haven't been able to. Basically I need to prove that a certain process satisfies Chapman-Kolmogorov equations, yet it isn't a Markov Process (it doesn't satisfy the Markovian Property).
I attached the problem as a .doc below...