Geometric ergodicity for families of homogeneous Markov chains

Details Geometric ergodicity for families of homogeneous Markov chains Geometric ergodicity for families of homogeneous Markov chains

2010-02-11

arxiv.org/abs/1002.2341v1

Mathematics

Probability

Scientific paper

In this paper we find nonasymptotic exponential upper bounds for the
deviation in the ergodic theorem for families of homogeneous Markov processes.
We find some sufficient conditions for geometric ergodicity uniformly over a
parametric family. We apply this property to the nonasymptotic nonparametric
estimation problem for ergodic diffusion processes.

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