Approximations of quasi-stationary distributions for markov chains |
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Institution: | Department of Mathematics, The University of Queensland Brisbane, Australia |
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Abstract: | We consider a simple and widely used method for evaluating quasi-stationary distributions of continuous time Markov chains. The infinite state space is replaced by a large, but finite approximation, which is used to evaluate a candidate distribution. We give some conditions under which the method works, and describe some important pitfalls. |
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