Regular Perturbation of V-Geometrically Ergodic Markov Chains
| Autor: | Déborah Ferré, Loïc Hervé, James Ledoux |
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| Rok vydání: | 2013 |
| Předmět: |
Independent and identically distributed random variables
Statistics and Probability 60J0 Markov chain General Mathematics 010102 general mathematics Perturbation (astronomy) Probability density function spectral method stability 01 natural sciences 010104 statistics & probability Autoregressive model Applied mathematics Ergodic theory 47B07 0101 mathematics Statistics Probability and Uncertainty Asymptotic expansion Spectral method Mathematics |
| Zdroj: | J. Appl. Probab. 50, no. 1 (2013), 184-194 |
| ISSN: | 1475-6072 0021-9002 |
| DOI: | 10.1017/s002190020001319x |
| Popis: | In this paper, new conditions for the stability of V-geometrically ergodic Markov chains are introduced. The results are based on an extension of the standard perturbation theory formulated by Keller and Liverani. The continuity and higher regularity properties are investigated. As an illustration, an asymptotic expansion of the invariant probability measure for an autoregressive model with independent and identically distributed noises (with a nonstandard probability density function) is obtained. |
| Databáze: | OpenAIRE |
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