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The rate of convergence of the vector of variances and covariances in non-homogeneous Markov systems

Published online by Cambridge University Press:  14 July 2016

P.-C. G. Vassiliou  and
G. Tsaklidis
P.-C. G. Vassiliou
Affiliation:
University of Thessaloniki
G. Tsaklidis*
Affiliation:
University of Thessaloniki
*
∗ Postal address for both authors: Statistics and Operations Research Section, Department of Mathematics, University of Thessaloniki, 54006 Thessaloniki, Greece.
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Abstract

The aims of this paper are twofold. The first is to study the rate of convergence of the sequence of vectors of expectations, variances and covariances in NHMS. It is proved that under certain conditions easily met in practice the rate is geometric. The second is to study the rate of convergence of the same sequence when the NHMS is under cyclic behaviour and it is also proved that the rate of convergence of the d subsequences (d being the period of the cycle) in which the sequence splits is geometric.

Keywords

STOCHASTIC POPULATION MODELSCYCLIC BEHAVIOUR OF NON-HOMOGENEOUS MARKOV SYSTEMSASYMPTOTIC VARIABILITY OF NON-HOMOGENEOUS MANPOWER SYSTEMSNON-HOMOGENEOUS MARKOV CHAINS
Type
Research Papers
Information
Journal of Applied Probability , Volume 26 , Issue 4 , December 1989 , pp. 776 - 783
Copyright
Copyright © Applied Probability Trust 1989 

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