| 研究生: |
盧炤傑 Chao-Chieh Lu |
|---|---|
| 論文名稱: |
noone A Note on Geometric Ergodicity of Markov Chains |
| 指導教授: |
許順吉
Shuenn-Jyi Sheu |
| 口試委員: | |
| 學位類別: |
碩士 Master |
| 系所名稱: |
理學院 - 數學系 Department of Mathematics |
| 論文出版年: | 2014 |
| 畢業學年度: | 102 |
| 語文別: | 英文 |
| 論文頁數: | 40 |
| 中文關鍵詞: | 馬可夫鏈 、幾何遍地性 、收斂參數 |
| 外文關鍵詞: | Markov Chain, Geometric Ergodicity, Convergence parameter |
| 相關次數: | 點閱:9 下載:0 |
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對於可數多個態、同質的馬可夫鏈我們已經有一些基本的認知,而且由D. G. Kendall 證明一個對於數列 (p_ij^((n) )-π_ij) 幾何收斂的‘solidarty theorem’。我們想檢驗幾何遍地性以及去得到馬可夫鏈的幾何收斂參數 ρ_ij。因此,我們在中間建構並且推廣一些的馬可夫鏈的極限定理;此外,我們可以在一個共同的圓 C_(R^' ) (R^'>R) 使生成函數P_00 (z)延拓成亞純函數(meromorphic function)使其在 z=R 有一個簡單極(simple pole)。最後,我們去推論出幾何遍地性以及幾何收斂參數 ρ_ij。
We already had known about some basic understanding of homogeneous Markov chain with countable state space, and D. G. Kendall has proved a 'solidarity theorem' for geometric convergence of the sequences (p_ij^((n) )-π_ij ) with convergence parameter ρ_ij. We shall investigate the geometric ergodicity and the convergence parameters ρ_ij. Therefore, we construct and generate some theorems of Markov chain. Also, we extend the genereating function P_00 (z) as a meromorphic function within a common disk C_(R^' ) (R^'>R) which it has only simple pole at z=R. Finally, we deduce some results for geometric ergodicity and convergence parameters ρ_ij.
References
[1] D. Vere-Jones, Geometric ergodicity in denumerable Markov chains. Quarterly Journal of Mathematics (Oxford, Series 2, 1960), 13, 7-28.
[2] K. L. Chung, Markov Chains with Stationary Transition Probabilities (Berlin:1960)
[3] G. H. Hardy, Divergent Series (Oxford, 1949).
[4] C. Derman, 'A solution to a set of fundamental equations in Markov chains', Proc. American Math. Soc. 5 (1954) 332-4.
[5] D. G. Kendall, 'Unitary dilations of Markov transition operators and the corresponding integral representations for transition-probability matrices', in U. Grenander (ed.), Probability and statistics (Stockholm: Almqvist and Wiksell; New York, 1959).
[6] S. Karlin and H. M. Taylor, A First Course in Stochastic Processes, ( 2nd ed. Academic Press, New York 1975).