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Efficient estimation of the stationary distribution for exponentially ergodic Markov chains

โœ Scribed by Spiridon Penev


Publisher
Elsevier Science
Year
1991
Tongue
English
Weight
990 KB
Volume
27
Category
Article
ISSN
0378-3758

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โœ Wolfgang Stadje ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 163 KB

For a discrete-time Markov chain with finite state space [1, ..., r] we consider the joint distribution of the numbers of visits in states 1, ..., r&1 during the first N steps or before the N th visit to r. From the explicit expressions for the corresponding generating functions we obtain the limiti