Эргодические оценки стационарных вероятностей состояний марковской цепи с непрерывным временем
2004
One considers the statistical characteristics of estimates of stationary probabilities of states of a discrete Markovian chain with continuous time in the form of the ratio of the time of staying of the chain in this state to the total time of observation. It is shown that this estimate is asymptotically unbiased, its asymptotic variance is determined, and the estimate of this variance is constructed. Asymptotic normality of this estimate is proved.
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