An Approximation to the Stationary Distribution of a Nearly Completely Decomposable Markov-chain and Its Error Analysis

Moshe Haviv

doi:10.1137/0607065

An Approximation to the Stationary Distribution of a Nearly Completely Decomposable Markov-chain and Its Error Analysis

Moshe Haviv

Department of Statistics

Research output: Contribution to journal › Article › peer-review

Abstract

All existing approximations for the stationary distribution of a nearly completely decomposable Markov chain are based on solving systems which are perturbations of the exact system. We develop here an original approximation which is based on probabilistic intuition. A series expansion of the accrued error is given as well.

Original language	English
Pages (from-to)	589-593
Number of pages	5
Journal	Siam Journal on Algebraic and Discrete Methods
Volume	7
Issue number	4
DOIs	https://doi.org/10.1137/0607065
State	Published - Oct 1986

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An Approximation to the Stationary Distribution of a Nearly Completely Decomposable Markov-chain and Its Error Analysis

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