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Sensitivity of the stationary distributions of denumerable Markov chains

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  • Cruz, Juan Alberto Rojas

Abstract

In this note we present new perturbation bounds for the stationary distribution of Markov chains with denumerable state space. Bounds are obtained using the Dobrushin’s coefficient δ(P) and the ergodic coefficient α(P). Bounds are shown to be relevant when α(P)<δ(P). In addition we present bounds only involving the coefficient α(P).

Suggested Citation

  • Cruz, Juan Alberto Rojas, 2020. "Sensitivity of the stationary distributions of denumerable Markov chains," Statistics & Probability Letters, Elsevier, vol. 166(C).
    • Handle: RePEc:eee:stapro:v:166:y:2020:i:c:s0167715220301693
    DOI: 10.1016/j.spl.2020.108866
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    References listed on IDEAS

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    1. Gibson, Diana & Seneta, E., 1987. "Monotone infinite stochastic matrices and their augmented truncations," Stochastic Processes and their Applications, Elsevier, vol. 24(2), pages 287-292, May.
    2. Seneta, E., 1993. "Sensitivity of finite Markov chains under perturbation," Statistics & Probability Letters, Elsevier, vol. 17(2), pages 163-168, May.
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