Series Expansions for Finite-State Markov Chains
AbstractThis paper provides series expansions of the stationary distribution of a finite Markov chain. This leads to an efficient numerical algorithm for computing the stationary distribution of a finite Markov chain. Numerical examples are given to illustrate the performance of the algorithm.
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Bibliographic InfoPaper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 05-086/4.
Date of creation: 20 Sep 2005
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finite-state Markov chain; (Taylor) series expansion; measure-valued derivatives; coupled processors;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-ECM-2006-01-24 (Econometrics)
- NEP-ETS-2006-01-24 (Econometric Time Series)
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- Abbas, K. & Heidergott, B.F. & Aissani, D., 2011. "A Taylor series expansion approach to the functional approximation of finite queues," Serie Research Memoranda 0049, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
- Heidergott, B. & Leahu, H., 2008. "Differentiability of Product Measures," Serie Research Memoranda 0005, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
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