Displaying similar documents to “Ergodicity of a certain class of Non Feller Models: Applications to ARCH and Markov switching models”

An Application of Skew Product Maps to Markov Chains

Zbigniew S. Kowalski (2007)

Bulletin of the Polish Academy of Sciences. Mathematics

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By using the skew product definition of a Markov chain we obtain the following results: (a) Every k-step Markov chain is a quasi-Markovian process. (b) Every piecewise linear map with a Markovian partition defines a Markov chain for every absolutely continuous invariant measure. (c) Satisfying the Chapman-Kolmogorov equation is not sufficient for a process to be quasi-Markovian.

On convergence in distribution of the Markov chain generated by the filter kernel induced by a fully dominated Hidden Markov Model

Thomas Kaijser

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Consider a Hidden Markov Model (HMM) such that both the state space and the observation space are complete, separable, metric spaces and for which both the transition probability function (tr.pr.f.) determining the hidden Markov chain of the HMM and the tr.pr.f. determining the observation sequence of the HMM have densities. Such HMMs are called fully dominated. In this paper we consider a subclass of fully dominated HMMs which we call regular. A fully dominated,...

The Kendall theorem and its application to the geometric ergodicity of Markov chains

Witold Bednorz (2013)

Applicationes Mathematicae

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We give an improved quantitative version of the Kendall theorem. The Kendall theorem states that under mild conditions imposed on a probability distribution on the positive integers (i.e. a probability sequence) one can prove convergence of its renewal sequence. Due to the well-known property (the first entrance last exit decomposition) such results are of interest in the stability theory of time-homogeneous Markov chains. In particular this approach may be used to measure rates of convergence...

Why the Kemeny Time is a constant

Karl Gustafson, Jeffrey J. Hunter (2016)

Special Matrices

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We present a new fundamental intuition forwhy the Kemeny feature of a Markov chain is a constant. This new perspective has interesting further implications.

Accurate calculations of Stationary Distributions and Mean First Passage Times in Markov Renewal Processes and Markov Chains

Jeffrey J. Hunter (2016)

Special Matrices

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This article describes an accurate procedure for computing the mean first passage times of a finite irreducible Markov chain and a Markov renewal process. The method is a refinement to the Kohlas, Zeit fur Oper Res, 30, 197–207, (1986) procedure. The technique is numerically stable in that it doesn’t involve subtractions. Algebraic expressions for the special cases of one, two, three and four states are derived.Aconsequence of the procedure is that the stationary distribution of the...