| The Invariance Principle for p-θ^→ Chain |
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| 作者姓名： | Di He HU Zheng Yan XIAO |
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| 作者单位： | [1]School of Mathematics and Statistics, Wuhan University, Wuhan 430072, P. R. China [2]School of Statistics, Renmin University of China, Beijing 100872, P. R. China |
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| 基金项目： | Research supported by the NNSF of China （No： 10371092） |
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| 摘 要： | There are two parts in this paper. In the first part we construct the Markov chain in random environment（MCRE）, the skew product Markov chain and p-θ^→ chain from a random transition matrix and a two-dimensional probability distribution, and in the second part we prove that the invarianee principle for p-θ^→ chain, a more complex non-homogeneous Markov chain, is true under some reasonable conditions. This result is more powerful.
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| 关 键 词： | 任意转换矩阵 马尔可夫链 倾斜积 不变性原理 |
| 修稿时间： | 2004-03-052005-03-29 |
The Invariance Principle for p-
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Chain |
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| Di He HU Zheng Yan XIAO.The Invariance Principle for p-
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Chain[J].Acta Mathematica Sinica,2007,23(1):41-56. |
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| Authors: | Di He Hu Zheng Yan Xiao |
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| Institution: | (1) School of Mathematics and Statistics, Wuhan University, Wuhan 430072, P. R. China;(2) School of Statistics, Renmin University of China, Beijing 100872, P. R. China |
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| Abstract: | There are two parts in this paper. In the first part we construct the Markov chain in random environment (MCRE), the skew
product Markov chain and p–
chain from a random transition matrix and a two–dimensional probability distribution, and in the second part we prove that
the invariance principle for p–
chain, a more complex non–homogeneous Markov chain, is true under some reasonable conditions. This result is more powerful.
Research supported by the NNSF of China (No: 10371092) |
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| Keywords: | random transition matrix Markov chain in random environment skew product Markov chain p– " target="_blank">  gif" alt="$$
\ifmmode\expandafter\vec\else\expandafter\vecabove\fi{\theta }
" target="_blank">$$" align="middle" border="0"> chain invariance principle |
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