Geometric ergodicity for families of homogeneous Markov chains
Probability
2012-05-10 v2 Statistics Theory
Statistics Theory
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.
Keywords
Cite
@article{arxiv.1002.2341,
title = {Geometric ergodicity for families of homogeneous Markov chains},
author = {Leonid Galtchouk and Serguei Pergamenchtchikov},
journal= {arXiv preprint arXiv:1002.2341},
year = {2012}
}