On a Stein method based approximation for a two-dimensional Markov chain

DOI10.4064/AM2468-11-2022MaRDI QIDQ6169082zbMATH OpenFDO

Authors Yingdong Lu

Publication date 11 July 2023

Published in Applicationes Mathematicae (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2106.03145

zbMATH Keywords

differential equationMarkov chainStein method

Mathematics Subject Classification ID

PDEs in connection with statistics (35Q62) Computational methods in Markov chains (60J22)

Abstract: We study an approximation method of stationary characters of a two-dimensional Markov chain via the Stein method. For this purpose, innovative methods are developed to estimate the moments of the Markov chain, as well as the solution to the Poisson equation with a partial differential operator.

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Cited in

(4)

• Stein's method for stationary distributions of Markov chains and application to Ising models
• The prelimit generator comparison approach of Stein's method
• On Stein's method for stochastically monotone single-birth chains
• Stein’s method and approximating the multidimensional quantum harmonic oscillator

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