Estimating the stationary distribution of a Markov chain | Zendy

Krishna B. Athreya | Zendy; Mukul Majumdar | Zendy

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Estimating the stationary distribution of a Markov chain

Author(s) -

Krishna B. Athreya,

Mukul Majumdar

Publication year - 2003

Publication title -

economic theory

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 1.572

H-Index - 58

eISSN - 1432-0479

pISSN - 0938-2259

DOI - 10.1007/s00199-002-0292-9

Subject(s) - lambda , markov chain , combinatorics , mathematics , asymptotic distribution , consistency (knowledge bases) , distribution (mathematics) , bounded function , stationary distribution , poisson distribution , stationary solution , discrete mathematics , mathematical analysis , physics , statistics , estimator , optics

Let be a Markov chain with a unique stationary distribution . Let h be a bounded measurable function. Write and . This paper explores conditions for the consistency and asymptotic normality of the estimate of of assuming the existence of a solution to the Poisson equation . Our framework covers the case of nonirreducible Markov chains arising in many growth models in economics. Copyright Springer-Verlag Berlin Heidelberg 2003Keywords and Phrases: Markov chains, Stationary distribution, Consistency, Asymptotic normality, Poisson equation, Martingale central limit theorem., JEL Classification Numbers: C1, D9.,

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