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

DOI10.4064/AM2468-11-2022zbMATH Open1520.60039arXiv2106.03145MaRDI QIDQ6169082FDOQ6169082

Authors: Yingdong Lu 

Publication date: 11 July 2023

Published in: Applicationes Mathematicae (Search for Journal in Brave)

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.

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

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zbMATH Keywords

differential equationMarkov chainStein method

Mathematics Subject Classification ID

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

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Cited In (4)

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

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