On the quasi-ergodic distribution of absorbing Markov processes

Guoman He, Hanjun Zhang and Yixia Zhu

Statistics & Probability Letters, 2019, vol. 149, issue C, 116-123

Abstract: In this paper, we give a sufficient condition for the existence of a quasi-ergodic distribution for absorbing Markov processes. Using an orthogonal-polynomial approach, we prove that the previous main result is valid for the birth–death process on the nonnegative integers with 0 an absorbing boundary and ∞ an entrance boundary. We also show that the quasi-ergodic distribution is stochastically larger than the unique quasi-stationary distribution in the sense of monotone likelihood-ratio ordering for the birth–death process.

Keywords: Process with absorption; Quasi-ergodicity; Quasi-stationary distribution; Birth–death process (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2019.02.001

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