Estimating the stationary distribution of a Markov chain

Krishna B. Athreya and Mukul Majumdar

Economic Theory, 2003, vol. 21, issue 2, 729-742

Abstract: 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 2003

Keywords: Keywords and Phrases: Markov chains; Stationary distribution; Consistency; Asymptotic normality; Poisson equation; Martingale central limit theorem.; JEL Classification Numbers: C1; D9. (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (1)

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DOI: 10.1007/s00199-002-0292-9

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