Absolute continuity of Markov chains

DOI10.1016/S0378-3758(98)00117-7MaRDI QIDQ1299004zbMATH OpenFDO

Authors Kostas Skouras

Publication date 13 September 2000

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0378-3758(98)00117-7

zbMATH Keywords

absolute continuityHellinger distanceMarkov chainsPolya's urn

Mathematics Subject Classification ID

Continuity and singularity of induced measures (60G30)

Review text

The note contains sufficient conditions for the absolute continuity of distributions of Markov chains. The results are derived from the well-known general criterion based on convergence of the Hellinger process. Some particular examples are discussed, in particular, Polya's urn scheme.

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Cites work

• A martingale approach to strong convergence in a generalized Pólya- Eggenberger urn model
• Absolute continuity, singular measures and asymptotics for estimators
• ON THE QUESTION OF ABSOLUTE CONTINUITY AND SINGULARITY OF PROBABILITY MEASURES
• Random Walks of Ordered Elements with Applications
• The convergence of Markov chains with nonstationary transition probabilities and constant causative matrix

Cited in

(4)

• Continuity properties of a factor of Markov chains
• Absolute continuity of measures in the class of Markov and semi-Markov processes of diffusion type
• Absolute continuity of measures in the class of Markov and semi-Markov processes of diffusion type
• About the absolute continuity and orthogonality for two probability measures.

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