Regular Perturbation of V-Geometrically Ergodic Markov Chains
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Publication:4918571
Abstract: In this paper, new conditions for the stability of V-geometrically ergodic Markov chains are introduced. The results are based on an extension of the standard perturbation theory formulated by Keller and Liverani. The continuity and higher regularity properties are investigated. As an illustration, an asymptotic expansion of the invariant probability measure for an autoregressive model with i.i.d. noises (with a non-standard probability density function) is obtained.
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Cited in
(23)- Perturbation theory for Markov chains via Wasserstein distance
- Local theorem for Markov chains with quasicompact transition probability. Applications to \(V\)-geometrically ergodic chains and iterative models
- Perturbation bounds for Monte Carlo within metropolis via restricted approximations
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- Estimation and inference in distributional reinforcement learning
- Computable bounds for solutions to Poisson's equation and perturbation of Markov kernels
- Convergence speed and approximation accuracy of numerical MCMC
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