Quasi-stationary distributions for Markov chains on a general state space

Author:

Tweedie Richard. L.

Abstract

The quasi-stationary behaviour of a Markov chain which is φ-irreducible when restricted to a subspace of a general state space is investigated. It is shown that previous work on the case where the subspace is finite or countably infinite can be extended to general chains, and the existence of certain quasi-stationary limits as honest distributions is equivalent to the restricted chain being R-positive with the unique R-invariant measure satisfying a certain finiteness condition.

Publisher

Cambridge University Press (CUP)

Subject

Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability

Cited by 6 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献

1. Yaglom limit for unimodal Lévy processes;Annales de l'Institut Henri Poincaré, Probabilités et Statistiques;2023-08-01

2. Parisian quasi-stationary distributions for asymmetric Lévy processes;Statistics & Probability Letters;2017-08

3. An Efficient Procedure for Computing Quasi-Stationary Distributions of Markov Chains by Sparse Transition Structure;Advances in Applied Probability;1994-03

4. Boundary crossing for moving sums;Journal of Applied Probability;1988-03

5. Moments for stationary and quasi-stationary distributions of markov chains;Journal of Applied Probability;1985-03

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