I have two questions and I am very confused about the concepts
- Can a Markov process of order one also be a a Martingale?
- Is any Markov process of order one also a Martingale?
For 1. I would say yes, since a Markov of order one is also an AR(1) it would be a martingale if c=0 and phi=1. However, I am very confused about the second. My answer for 2 would be no, but I cannot explain it properly.
Can anyone maybe help me?