A NOTE ON THE COMPARISON OF STATIONARY LAWS OF MARKOV-PROCESSES

被引：1

作者：

PFLUG, GC ^{[1
]}

机构：

[1] UNIV VIENNA,INST STAT & INFORMAT,A-1010 VIENNA,AUSTRIA

来源：

STATISTICS & PROBABILITY LETTERS | 1991年 / 11卷 / 04期

关键词：

MARKOV PROCESSES; NONLINEAR MULTIVARIATE AUTOREGRESSIVE PROCESSES; DEGREE OF CONCENTRATION; COMPARISON THEOREM;

D O I：

10.1016/0167-7152(91)90044-R

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：

Let {X(n)}, {Y(n)} be Markov process on R(k), satisfying X(n+1) = T1(X(n)) + Z(n), Y(n+1) = T2(Y(n)) + Z(n), where {Z(n)} are i.i.d random variables. Let mu-X resp. mu-Y be the stationary distributions of {X(n)} resp. {Y(n)}. We introduce an order relation for probabilities measuring the degree of concentration around zero and derive a result connecting this degree of concentration with properties of the functions T(i) and the distribution of {Z(n)}. Our theorem generalizes a known result for the univariate case which was given by Hognas (1986).

引用

页码：331 / 334

页数：4

共 50 条

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