Posterior bounds on the equilibrium distribution of a finite markov chain
- 1 January 1986
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics. Stochastic Models
- Vol. 2 (3) , 323-338
- https://doi.org/10.1080/15326348608807040
Abstract
Let P denote the transition probability matrix of a finite Markov chain with one recurrent class of states and consequently a unique equilibrium distribution . This paper exhibits bounds of the form for any allowed estimate x of ρ. These bounds are sharp when , and monotone inward under the usual iterative scheme . These bounds and monotonicity properties are a generalization of MacQueen's bounds on the fixed point of a monotone contraction operatorKeywords
This publication has 2 references indexed in Scilit:
- On the solvability of Bellman's functional equations for Markov renewal programmingJournal of Mathematical Analysis and Applications, 1983
- A modified dynamic programming method for Markovian decision problemsJournal of Mathematical Analysis and Applications, 1966