Page 1

Displaying 1 – 7 of 7

Showing per page

Average convergence rate of the first return time

Geon Choe, Dong Kim (2000)

Colloquium Mathematicae

The convergence rate of the expectation of the logarithm of the first return time R n , after being properly normalized, is investigated for ergodic Markov chains. I. Kontoyiannis showed that for any β > 0 we have l o g [ R n ( x ) P n ( x ) ] = o ( n β ) a.s. for aperiodic cases and A. J. Wyner proved that for any ε >0 we have - ( 1 + ε ) l o g n l o g [ R n ( x ) P n ( x ) ] l o g l o g n eventually, a.s., where P n ( x ) is the probability of the initial n-block in x. In this paper we prove that E [ l o g R ( L , S ) - ( L - 1 ) h ] converges to a constant depending only on the process where R ( L , S ) is the modified first return time with...

Currently displaying 1 – 7 of 7

Page 1