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Coefficients of ergodicity with respect to vector norms

Published online by Cambridge University Press:  14 July 2016

Choon-Peng Tan
Choon-Peng Tan*
Affiliation:
University of Malaya
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Abstract

The stationary distribution may be used to estimate the rate of geometric convergence to ergodicity for a finite homogeneous ergodic Markov chain. This is done by invoking the spectrum localization property of a new class of ergodicity coefficients defined with respect to column vector norms for the transition matrix P. Explicit functional forms in terms of the entries of P are obtained for these coefficients with respect to the l∞ and l 1, norms, and comparison in performance with various known coefficients is made with the aid of numerical examples.

Keywords

ERGODIC TRANSITION MATRIXl p NORMSPECTRUM LOCALIZATION PROPERTYSTATIONARY DISTRIBUTION

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 20 , Issue 2 , June 1983 , pp. 277 - 287
Copyright
Copyright © Applied Probability Trust 1983 

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References

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