THE EXISTENCE OF MOMENTS FOR STATIONARY MARKOV-CHAINS

被引：89

作者：

TWEEDIE, RL

机构：

来源：

JOURNAL OF APPLIED PROBABILITY | 1983年 / 20卷 / 01期

关键词：

D O I：

10.2307/3213735

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Conditions are given under which the stationary distribution pi of a Markov chain admits moments of the general form integral f(x) pi (dx), where f is a general function; specific examples include f(x) equals x**r and f(x) equals e**s**x. In general the time-dependent moments of the chain then converge to the stationary moments. It is shown that in special cases this convergence of moments occurs at a geometric rate. The results are applied to random walk on left bracket 0, infinity ).

引用

页码：191 / 196

页数：6

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