A coarse description of a dynamical system generally fails to evolve autonomously: evolving and coarse-graining in different orders gives different predictions, and the compressed propagator fails the semigroup law. We show that this path dependence is the observable boundary of missing state. For a finite continuous-time Markov chain with generator
L, coarse channel
C, and stochastic section
R satisfying
CR=I, define
P=RC,
Q=I−P, and
K=CLR. The exact coarse propagator
Tt=CetLR obeys a Volterra equation with memory kernel
M(t)=CLQetQLQQLR. Every memory jet
M(k)(0) is recursively recoverable from the short-time derivatives of
Tt alone. The rank of the block Hankel operator
H∞=(M(i+j)(0))i,j≥0 is exactly the smallest number of auxiliary linear state variables required to turn the coarse dynamics into an exact autonomous, time-homogeneous system. A minimal completion is constructible by Ho--Kalman factorization and is unique up to similarity. If
d=min{k:M(k)(0)=0}, then every smooth classical
f-divergence generically scales as
t2d+4. Exact Markov examples realize exponents
4,6,8 and closure ranks
1,2,3. We also derive finite-sample singular-value certificates for hidden predictive coordinates, including a matrix-Bernstein bound with intrinsic-variance control. Finally, histories are identified when they induce the same future law under every admissible intervention, yielding the minimal counterfactual predictive state. The results turn coarse-graining into a constructive state-completion problem and separate ordinary linear realization from the harder requirement of a positive or Markov realization.