IDEAS home Printed from https://ideas.repec.org/a/spr/joecth/v21y2003i2p729-742.html
   My bibliography  Save this article

Estimating the stationary distribution of a Markov chain

Author

Listed:
  • Krishna B. Athreya
  • Mukul Majumdar

Abstract

Let be a Markov chain with a unique stationary distribution . Let h be a bounded measurable function. Write and . This paper explores conditions for the consistency and asymptotic normality of the estimate of of assuming the existence of a solution to the Poisson equation . Our framework covers the case of nonirreducible Markov chains arising in many growth models in economics. Copyright Springer-Verlag Berlin Heidelberg 2003

Suggested Citation

  • Krishna B. Athreya & Mukul Majumdar, 2003. "Estimating the stationary distribution of a Markov chain," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 21(2), pages 729-742, March.
    • Handle: RePEc:spr:joecth:v:21:y:2003:i:2:p:729-742
    DOI: 10.1007/s00199-002-0292-9
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1007/s00199-002-0292-9
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1007/s00199-002-0292-9?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Limnios, N., 2006. "Estimation of the stationary distribution of semi-Markov processes with Borel state space," Statistics & Probability Letters, Elsevier, vol. 76(14), pages 1536-1542, August.

    More about this item

    Keywords

    Keywords and Phrases: Markov chains; Stationary distribution; Consistency; Asymptotic normality; Poisson equation; Martingale central limit theorem.; JEL Classification Numbers: C1; D9.;
    All these keywords.

    JEL classification:

    • C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:joecth:v:21:y:2003:i:2:p:729-742. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.