On The Law Of Large Numbers For (Geometrically) Ergodic Markov Chains
AbstractFor use in asymptotic analysis of nonlinear time series models, we show that with (Xt,t 0) a (geometrically) ergodic Markov chain, the general version of the strong law of large numbers applies. That is, the average converges almost surely to the expectation of (Xt,Xt+1, ) irrespective of the choice of initial distribution of, or value of, X0. In the existing literature, the less general form has been studied.We thank Paolo Paruolo (the co-editor) and the referee for valuable comments. Also we thank the Danish Social Sciences Research Council (grant 2114-04-0001) for financial support.
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Econometric Theory.
Volume (Year): 23 (2007)
Issue (Month): 04 (August)
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