ON THE LAW OF LARGE NUMBERS FOR (GEOMETRICALLY) ERGODIC MARKOV CHAINS

B-Tier
Journal: Econometric Theory
Year: 2007
Volume: 23
Issue: 4
Pages: 761-766

Authors (2)

Jensen, Søren Tolver (not in RePEc) Rahbek, Anders (Københavns Universitet)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

For use in asymptotic analysis of nonlinear time series models, we show that with (Xt,t ≥ 0) a (geometrically) ergodic Markov chain, the general version of the strong law of large numbers applies. That is, the average converges almost surely to the expectation of φ(Xt,Xt+1,…) irrespective of the choice of initial distribution of, or value of, X0. In the existing literature, the less general form has been studied.We thank Paolo Paruolo (the co-editor) and the referee for valuable comments. Also we thank the Danish Social Sciences Research Council (grant 2114-04-0001) for financial support.

Technical Details

RePEc Handle
repec:cup:etheor:v:23:y:2007:i:04:p:761-766_07
Journal Field
Econometrics
Author Count
2
Added to Database
2026-01-29