Mathematics – Probability
Scientific paper
2009-07-26
Acta math Sinica (English version), Vol 27, No 3, March 2011, pp 441-476
Mathematics
Probability
Version 2 consists of 37 pages, Version 1 of 73 pages. Section 12 of Version 1 is removed. Most proofs in Version 2 are shorte
Scientific paper
10.1007/s10114-010-9696-9
Let S be a denumerable state space and let P be a transition probability matrix on S. If a denumerable set M of nonnegative matrices is such that the sum of the matrices is equal to P, then we call M a partition of P. Let K denote the set of probability vectors on S. To every partition M of P we can associate a transition probability function on K defined in such a way that if p in K and m in M are such that ||pm|| > 0, then, with probability ||pm|| the vector p is transferred to the vector pm/||pm||. Here ||.|| denotes the l_1-norm. In this paper we investigate convergence in distribution for Markov chains generated by transition probability functions induced by partitions of transition probability matrices. An important application of the convergence results obtained is to filtering processes of partially observed Markov chains.
No associations
LandOfFree
On Markov chains induced by partitioned transition probability matrices does not yet have a rating. At this time, there are no reviews or comments for this scientific paper.
If you have personal experience with On Markov chains induced by partitioned transition probability matrices, we encourage you to share that experience with our LandOfFree.com community. Your opinion is very important and On Markov chains induced by partitioned transition probability matrices will most certainly appreciate the feedback.
Profile ID: LFWR-SCP-O-357565