When is a Markov chain regenerative?

Athreya, Krishna B. ; Roy, Vivekananda (2014) When is a Markov chain regenerative? Statistics & Probability Letters, 84 . pp. 22-26. ISSN 01677152

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Official URL: http://doi.org/10.1016/j.spl.2013.09.021

Related URL: http://dx.doi.org/10.1016/j.spl.2013.09.021


A sequence of random variables {Xn}n≥0{Xn}n≥0 is called regenerative if it can be broken up into iid components. The problem addressed in this paper is that of determining under what conditions a Markov chain is regenerative. It is shown that an irreducible Markov chain with a countable state space is regenerative for any initial distribution if and only if it is recurrent (null or positive). An extension of this to the general state space case is also discussed.

Item Type:Article
Keywords:Harris recurrence, Markov chains, Monte Carlo, Recurrence, Regenerative sequence
ID Code:131576
Deposited On:07 Dec 2022 07:34
Last Modified:07 Dec 2022 07:34

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