Sensitivity of the stationary distributions of denumerable Markov chains

Juan Alberto Rojas Cruz

Statistics & Probability Letters, 2020, vol. 166, issue C

Abstract: In this note we present new perturbation bounds for the stationary distribution of Markov chains with denumerable state space. Bounds are obtained using the Dobrushin’s coefficient δ(P) and the ergodic coefficient α(P). Bounds are shown to be relevant when α(P)<δ(P). In addition we present bounds only involving the coefficient α(P).

Keywords: Stationary distribution; Perturbation; Ergodic coefficients; Denumerable Markov chains (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spl.2020.108866

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