| Author(s) |
Leonid Galtchouk1, Serguei Pergamenchtchikov ( )2 |
| Laboratory |
|
| Subject |
|
| Title |
Geometric ergodicity for families of homogeneous Markov chains |
| Abstract |
In this paper we find nonasymptotic exponential upper bounds for the deviation in the ergodic theorem for families of homogeneous Markov processes. We find some sufficient conditions for geometric ergodicity uniformly over a parametric family. We apply this property to the nonasymptotic nonparametric estimation problem for ergodic diffusion processes. |
| Fulltext language |
English |
| Production date |
2010-02-10 |
|
| Keyword(s) |
Homogeneous Markov chain – Geometric ergodicity – Coupling renewal processes – Lyapunov function – Renewal theory – Nonasymptotic exponential upper bound – Ergodic diffusion processes |
| Classification |
60F10 |
|
| Contract, financing |
RFBR-Grant 09-01-00172-a |
|
