A New Approach to the Limit Theory of Recurrent Markov Chains
A New Approach to the Limit Theory of Recurrent Markov Chains
复制标题
循环马尔可夫链极限理论的新方法
DOI：
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发表时间：
1978
期刊：
影响因子：
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通讯作者：
P. Ney
中科院分区：
文献类型：
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作者：
K. Athreya;P. Ney
设{Xn; n ≥ 0}是一般状态空间上的Harris-常返马氏链。证明了存在一个随机时间序列{Ni; i ≥ 1}使得{XN; i ≥ 1}独立同分布.这个想法是用来表明，{Xn}是一个过程具有一个复发点，并制定一个再生计划，导致简单的证明遍历定理，存在性和唯一性的平稳措施。
Let {X n ; n ≥ 0} be a Harris-recurrent Markov chain on a general state space. It is shown that there is a sequence of random times {N i ; i ≥ 1} such that {X N ; i ≥ 1} are independent and identically distributed. This idea is used to show that {X n } is equivalent to a process having a recurrence point, and to develop a regenerative scheme which leads to simple proofs of the ergodic theorem, existence and uniqueness of stationary measures.