On the $$\alpha $$ α -lazy version of Markov chains in estimation and testing problems

Sela Fried ()
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Sela Fried: Ben-Gurion University of the Negev

Statistical Inference for Stochastic Processes, 2023, vol. 26, issue 2, No 6, 413-435

Abstract: Abstract Given access to a single long trajectory generated by an unknown irreducible Markov chain M, we simulate an $$\alpha $$ α -lazy version of M which is ergodic. This enables us to generalize recent results on estimation and identity testing, that were stated for ergodic Markov chains, in a way that allows fully empirical inference. In particular, our approach shows that the pseudo spectral gap introduced by Paulin (Electron J Probab 20:32, 2015) and defined for ergodic Markov chains may be given a meaning already in the case of irreducible but possibly periodic Markov chains.

Keywords: Markov chains; Pseudo spectral gap; Estimation; Identity testing (search for similar items in EconPapers)
Date: 2023
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DOI: 10.1007/s11203-022-09283-7

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