Conditions for recurrence and transience of a Markov chain on \(\mathbb Z^ +\) and estimation of a geometric success probability. (Q1848972)

Let \(Z\) be a discrete random variable with support \(\mathbb Z^+ = \{0,1,2,\dots\}\). We consider a Markov chain \(Y=(Y_n)_{n=0}^\infty\) with state space \(\mathbb Z^+\) and transition probabilities given by \(P(Y_{n+1} = j\mid Y_n = i) = P(Z = i+j)/P(Z \geq i)\). We prove that convergence of \(\sum_{n=1}^\infty 1/[n^3 P (Z=n)]\) is sufficient for transience of \(Y\) while divergence of \(\sum_{n=1}^\infty 1/[n^2 P (Z \geq n)]\) is sufficient for recurrence. Let \(X\) be a \(\text{Geometric}(p)\) random variable; that is, \(P(X=x)=p(1-p)^x\) for \(x \in \mathbb Z^+\). We use our results in conjunction with those of M. L. Eaton [Ann. Stat. 20, 1147--1179 (1992; Zbl 0767.62002)] and J. P. Hobert and C. P. Robert [Ann. Stat. 27, 361--373 (1999; Zbl 0945.62012)] to establish a sufficient condition for \(\mathcal{P}\)-admissibility of improper priors on \(p\). As an illustration of this result, we prove that all prior densities of the form \(p^{-1}(1-p)^{b-1}\) with \(b>0\) are \(\mathcal{P}\)-admissible.