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Asymptotic behavior for Markovian iterated function systems
Stochastic Processes and their Applications ( IF 1.4 ) Pub Date : 2021-04-28 , DOI: 10.1016/j.spa.2021.04.009
Cheng-Der Fuh

Let (U,d) be a complete separable metric space and (Fn)n0 a sequence of random functions from U to U. Motivated by studying the stability property for Markovian dynamic models, in this paper, we assume that the random function (Fn)n0 is driven by a Markov chain X={Xn,n0}. Under some regularity conditions on the driving Markov chain and the mean contraction assumption, we show that the forward iterations Mnu=FnF1(u), n0, converge weakly to a unique stationary distribution Π for each uU, where denotes composition of two maps. The associated backward iterations M̃nu=F1Fn(u) are almost surely convergent to a random variable M̃ which does not depend on u and has distribution Π. Moreover, under suitable moment conditions, we provide estimates and rate of convergence for d(M̃,M̃nu) and d(Mnu,Mnv), u,vU. The results are applied to the examples that have been discussed in the literature, including random coefficient autoregression models and recurrent neural network.



中文翻译:

马尔可夫迭代函数系统的渐近行为

üd 是一个完全可分离的度量空间, Fññ0 来自的随机函数序列 üü。通过研究马尔可夫动力学模型的稳定性,本文假设随机函数Fññ0 由马尔可夫链驱动 X={Xññ0}。在驱动马尔可夫链的某些规律性条件下和平均收缩假设下,我们证明了正向迭代中号ñü=FñF1个üñ0,微弱地收敛到唯一的平稳分布 Π 对于每个 üü, 在哪里 表示两个地图的组成。相关的向后迭代中号̃ñü=F1个Fñü 几乎可以肯定地收敛于随机变量 中号̃ 不依赖于 ü 并有分布 Π。此外,在合适的时刻条件下,我们提供了以下估计和收敛速度:d中号̃中号̃ñüd中号ñü中号ñvüvü。将结果应用于文献中已讨论的示例,包括随机系数自回归模型和递归神经网络。

更新日期:2021-05-04
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