Small sets and Markov transition densities
The theory of general state-space Markov chains can be strongly related to the case of discrete state-space by use of the notion of small sets and associated minorization conditions. The general theory shows that small sets exist for all Markov chains on state-spaces with countably generated [sigma]-algebras, though the minorization provided by the theory concerns small sets of order n and n-step transition kernels for some unspecified n. Partly motivated by the growing importance of small sets for Markov chain Monte Carlo and Coupling from the Past, we show that in general there need be no small sets of order n=1 even if the kernel is assumed to have a density function (though of course one can take n=1 if the kernel density is continuous). However, n=2 will suffice for kernels with densities (integral kernels), and in fact small sets of order 2 abound in the technical sense that the 2-step kernel density can be expressed as a countable sum of non-negative separable summands based on small sets. This can be exploited to produce a representation using a latent discrete Markov chain; indeed one might say, inside every Markov chain with measurable transition density there is a discrete state-space Markov chain struggling to escape. We conclude by discussing complements to these results, including their relevance to Harris-recurrent Markov chains and we relate the counterexample to Turán problems for bipartite graphs.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 99 (2002)
Issue (Month): 2 (June)
|Contact details of provider:|| Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description|
|Order Information:|| Postal: http://http://www.elsevier.com/wps/find/supportfaq.cws_home/regional|
When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:99:y:2002:i:2:p:177-194. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.