scholarly journals The Exit Time Finite State Projection Scheme: Bounding Exit Distributions and Occupation Measures of Continuous-Time Markov Chains

2019 ◽  
Vol 41 (2) ◽  
pp. A748-A769 ◽  
Author(s):  
Juan Kuntz ◽  
Philipp Thomas ◽  
Guy-Bart Stan ◽  
Mauricio Barahona
Keyword(s):  
Markov Chains ◽  
Continuous Time ◽  
Exit Time ◽  
Projection Scheme ◽  
Continuous Time Markov Chains ◽  
Occupation Measures ◽  
Finite State ◽  
Exit Distributions

Empirical convergence rates for continuous-time Markov chains

2001 ◽  
Vol 38 (1) ◽  
pp. 262-269 ◽  
Author(s):  
Geoffrey Pritchard ◽  
David J. Scott
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
Rate Of Convergence ◽  
Continuous Time ◽  
Transition Matrix ◽  
Convergence Rates ◽  
Parametric Model ◽  
Continuous Time Markov Chains ◽  
Finite State ◽  
Second Largest Eigenvalue

We consider the problem of estimating the rate of convergence to stationarity of a continuous-time, finite-state Markov chain. This is done via an estimator of the second-largest eigenvalue of the transition matrix, which in turn is based on conventional inference in a parametric model. We obtain a limiting distribution for the eigenvalue estimator. As an example we treat an M/M/c/c queue, and show that the method allows us to estimate the time to stationarity τ within a time comparable to τ.

Empirical convergence rates for continuous-time Markov chains

2001 ◽  
Vol 38 (01) ◽  
pp. 262-269 ◽  
Author(s):  
Geoffrey Pritchard ◽  
David J. Scott
Keyword(s):  
Markov Chain ◽  
Markov Chains ◽  
Rate Of Convergence ◽  
Continuous Time ◽  
Transition Matrix ◽  
Convergence Rates ◽  
Parametric Model ◽  
Continuous Time Markov Chains ◽  
Finite State ◽  
Second Largest Eigenvalue

We consider the problem of estimating the rate of convergence to stationarity of a continuous-time, finite-state Markov chain. This is done via an estimator of the second-largest eigenvalue of the transition matrix, which in turn is based on conventional inference in a parametric model. We obtain a limiting distribution for the eigenvalue estimator. As an example we treat an M/M/c/c queue, and show that the method allows us to estimate the time to stationarity τ within a time comparable to τ.

scholarly journals Trace Machines for Observing Continuous-Time Markov Chains

2006 ◽  
Vol 153 (2) ◽  
pp. 259-277 ◽  
Author(s):  
Verena Wolf ◽  
Christel Baier ◽  
Mila Majster-Cederbaum
Keyword(s):  
Markov Chains ◽  
Continuous Time ◽  
Continuous Time Markov Chains
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