Occupation laws for some time-nonhomogeneous Markov chains

DOI10.1214/EJP.V12-413zbMATH Open1127.60068arXivmath/0701798MaRDI QIDQ2461985FDOQ2461985

Sunder Sethuraman, Zach Dietz

Publication date: 23 November 2007

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: We consider finite-state time-nonhomogeneous Markov chains where the probability of moving from state $i$ to state $jeqi$ at time $n$ is $G(i,j)/n^{z}eta$ for a ``generator matrix $G$ and strength parameter $zeta>0$. In these chains, as time grows, the positions are less and less likely to change, and so form simple models of age-dependent time-reinforcing behaviors. These chains, however, exhibit some different, perhaps unexpected, asymptotic occupation laws depending on parameters. Although on the one hand it is shown that the asymptotic position converges to a point-mixture for all $zeta>0$, on the other hand, the average position, when variously $0<zeta<1$, $zeta>1$ or $zeta=1$, is shown to converges to a constant, a point-mixture, or a distribution $m{u}_G$ with no atoms and full support on a certain simplex respectively. The last type of limit can be seen as a sort of ``spreading between the cases $0<zeta<1$ and $zeta>1$. In particular, when $G$ is appropriately chosen, $m{u}_G$ is a Dirichlet distribution with certain parameters, reminiscent of results in Polya urns.

Full work available at URL: https://arxiv.org/abs/math/0701798

zbMATH Keywords

Dirichlet distributionlaws of large numbersreinforcementoccupation

Mathematics Subject Classification ID

Large deviations (60F10) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Cited In (9)

• On the use of Markovian stick-breaking priors
• Title not available (Why is that?)
• Fluctuations of the empirical measure of freezing Markov chains
• Occupation time densities for stable-like processes and other pure jump Markov processes
• Title not available (Why is that?)
• Stationarity and Inference in Multistate Promoter Models of Stochastic Gene Expression via Stick-Breaking Measures
• Turning a coin over instead of tossing it
• Stick-breaking processes, clumping, and Markov chain occupation laws
• The strong law of large numbers for moving average of continuous state nonhomogeneous Markov chains

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