Future independent times and Markov chains |
| |
| Authors: | Hermann Thorisson |
| |
| Institution: | (1) Department of Mathematics, Chalmers University of Technology, S-412 96 Göteborg, Sweden |
| |
| Abstract: | Summary A random timeT is a future independent  time for a Markov chain (X
n
)
0
ifT is independent of (X
T+n
)
n
/
=0 and if (X
T+n
)
n
/
=0 is a Markov chain with initial distribution and the same transition probabilities as (X
n
)
0
. This concept is used (with the  conditional stationary measure ) to give a new and short proof of the basic limit theorem of Markov chains, improving somewhat the result in the null-recurrent case.This work was supported by the Swedish Natural Science Research Council and done while the author was visiting the Department of Statistics, Stanford University |
| |
| Keywords: | Markov chain future independent time regeneration stationary measure coupling |
| 本文献已被 SpringerLink 等数据库收录！ |
