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Augmented truncations of infinite stochastic matrices

Published online by Cambridge University Press:  14 July 2016

Diana Gibson and
E. Seneta
Diana Gibson*
Affiliation:
University of Sydney
E. Seneta*
Affiliation:
University of Sydney
*
∗ Postal address: Department of Mathematical Statistics, University of Sydney, NSW 2006, Australia.
∗ Postal address: Department of Mathematical Statistics, University of Sydney, NSW 2006, Australia.
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Abstract

We consider the problem of approximating the stationary distribution of a positive-recurrent Markov chain with infinite transition matrix P, by stationary distributions computed from (n × n) stochastic matrices formed by augmenting the entries of the (n × n) northwest corner truncations of P, as n →∞.

Keywords

STATIONARY DISTRIBUTIONAUGMENTATIONLAST-EXIT PROBABILITIESUPPER-HESSENBERGLOWER-HESSENBERG

Information

Type
Research Papers
Information
Journal of Applied Probability , Volume 24 , Issue 3 , September 1987, pp. 600 - 608
Copyright
Copyright © Applied Probability Trust 1987 

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References

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