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Drift and Regularity

  • Sean P. Meyn
  • Richard L. Tweedie
Chapter
  • 603 Downloads
Part of the Communications and Control Engineering Series book series (CCE)

Abstract

Using the finiteness of the invariant measure to classify two different levels of stability is intuitively appealing. It is simple, and it also involves a fundamental stability requirement of many classes of models. Indeed, in time series analysis for example, a standard starting point, rather than an end-point, is the requirement that the model be stationary, and it follows from (10.4) that for a stationary version of a model to exist we are in effect requiring that the structure of the model be positive recurrent.

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Copyright information

© Springer-Verlag London Limited 1993

Authors and Affiliations

  • Sean P. Meyn
    • 1
  • Richard L. Tweedie
    • 2
  1. 1.Coordinated Science Laboratory and the Department of Electrical and Computer EngineeringUniversity of IllinoisUrbanaUSA
  2. 2.Department of StatisticsColorado State UniversityFort CollinsUSA

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