Showing papers by "Bo Henry Lindqvist published in 1978"
TL;DR: In this paper, the relation between the ergodic coefficient and deficiency relative to the least informative experiment is investigated for nonhomogeneous Markov chains, and it is shown that in the homogeneous case the rate of convergence is always exponential.
Abstract: The relation between the ergodic coefficient and deficiency relative to the least informative experiment is investigated. The result is applied to nonhomogeneous Markov chains (NMC's). Our main result can be described as follows: Given an NMC, define the experiments ℰn(j) for n≧1 consisting in observing the (n+j)-th state of the chain, the j-th state being the unknown parameter. Then the chain is weakly ergodic if and only if for any j, ℰn(j) converges as n → ∞ (with respect to deficiencies) to the least informative experiment. It is finally shown that in the homogeneous case, the rate of convergence is always exponential.
2 citations