On strong stationary times and approximation of Markov chain hitting times by geometric sums

Fraser Daly

Statistics & Probability Letters, 2019, vol. 150, issue C, 74-80

Abstract: For discrete-time, ergodic Markov chains started from stationarity, Fill and Lyzinski (2014) showed that hitting times may sometimes be represented as geometric sums. We extend this, giving explicit bounds in the approximation of hitting times by appropriately chosen geometric sums.

Keywords: Markov chains; Passage time; Geometric sum; Strong stationary time; Stochastic ordering (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2019.02.017

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