The ladder variables of a Markov random walk

• Autorzy: Alsmeyer G.
• Języki publikacji: EN

Abstrakty

EN

Given a Harris chain (M_n)_n≥0 on any state space (S, C) with essentially unique stationary measure ξ, let (X_n)_n≥0 be a sequence of real-valued random variables which are conditionally independent, given (M_n)_n≥0, and satisfy [formula].. for some stochastic kernel Q : S² × B → [0, 1] and all k ≥ 1. Denote by S_n the n-th partial sum of this sequence. Then (M_n, S_n)_n≥0 forms a so-called Markov random walk with driving chain (M_n, S_n)_n≥0. Its stationary mean drift is given by μ = E_ξX₁ and assumed to be positive in which case the associated (strictly ascending) ladder epochs [formula].. and the ladder heights S^*_n = S_σn for n ≥ 0 are a.s. positive and finite randomvariables. Put M^*_n = M_σn. ……..[formula]

Słowa kluczowe

EN

Markov random walk; ladder variables; Harris recurrence; regeneration epoch; coupling

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2000
• Tom: Vol. 20, Fasc. 1
• Strony: 151--168
• Opis fizyczny: Bibliogr. 10 poz.

Twórcy

autor

Alsmeyer G.

• Institut für Mathematische Statistik, Fachbereich Mathematik, Westfalische Wilhelms-Universität Münster, Einsteinstraße 62, D-48149 Münster, Germany'

Bibliografia

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