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On Stein’s method for stochastically monotone single-birth chains

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  • Daly, Fraser

Abstract

We discuss Stein’s method for approximation by the stationary distribution of a single-birth Markov chain, in conjunction with stochastic monotonicity and similar assumptions. We use bounds on the increments of the solution of Poisson’s equation for such a process. Applications include rates of convergence to stationarity, and bounding the total variation distance between the stationary distributions of two Markov chains in the case where one transition matrix dominates the other.

Suggested Citation

  • Daly, Fraser, 2024. "On Stein’s method for stochastically monotone single-birth chains," Statistics & Probability Letters, Elsevier, vol. 206(C).
    • Handle: RePEc:eee:stapro:v:206:y:2024:i:c:s0167715223002171
    DOI: 10.1016/j.spl.2023.109993
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    References listed on IDEAS

    as
    1. Jiang, Shuxia & Liu, Yuanyuan & Yao, Shuai, 2014. "Poisson’s equation for discrete-time single-birth processes," Statistics & Probability Letters, Elsevier, vol. 85(C), pages 78-83.
    2. Robert B. Lund & Richard L. Tweedie, 1996. "Geometric Convergence Rates for Stochastically Ordered Markov Chains," Mathematics of Operations Research, INFORMS, vol. 21(1), pages 182-194, February.
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