Asymptotic variance of functionals of discrete-time Markov chains via the Drazin inverse.
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1. | Title | Title of document | Asymptotic variance of functionals of discrete-time Markov chains via the Drazin inverse. |
2. | Creator | Author's name, affiliation, country | Dan J. Spitzner; Department of Statistics (0439), Virginia Tech, Blacksburg, VA |
2. | Creator | Author's name, affiliation, country | Thomas R Boucher; Department of Mathematics, Plymouth State |
3. | Subject | Discipline(s) | |
3. | Subject | Keyword(s) | General state space Markov chains; $f$-regularity; Markov chain central limit theorem; Drazin inverse; fundamental matrix; asymptotic variance |
4. | Description | Abstract | We consider a $\psi$-irreducible, discrete-time Markov chain on a general state space with transition kernel $P$. Under suitable conditions on the chain, kernels can be treated as bounded linear operators between spaces of functions or measures and the Drazin inverse of the kernel operator $I - P$ exists. The Drazin inverse provides a unifying framework for objects governing the chain. This framework is applied to derive a computational technique for the asymptotic variance in the central limit theorems of univariate and higher-order partial sums. Higher-order partial sums are treated as univariate sums on a `sliding-window' chain. Our results are demonstrated on a simple AR(1) model and suggest a potential for computational simplification. |
5. | Publisher | Organizing agency, location | |
6. | Contributor | Sponsor(s) | |
7. | Date | (YYYY-MM-DD) | 2007-04-24 |
8. | Type | Status & genre | Peer-reviewed Article |
8. | Type | Type | |
9. | Format | File format | |
10. | Identifier | Uniform Resource Identifier | http://ecp.ejpecp.org/article/view/1262 |
10. | Identifier | Digital Object Identifier | 10.1214/ECP.v12-1262 |
11. | Source | Journal/conference title; vol., no. (year) | Electronic Communications in Probability; Vol 12 |
12. | Language | English=en | |
14. | Coverage | Geo-spatial location, chronological period, research sample (gender, age, etc.) | |
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