A FINITE CHARACTERIZATION OF WEAK LUMPABLE MARKOV-PROCESSES .1. THE DISCRETE-TIME CASE

被引：23

作者：

RUBINO, G

SERICOLA, B

机构：

[1] IRISA-INRIA, 35042 Rennes, Campus de Beaulieu

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1991年 / 38卷 / 02期

关键词：

MARKOV CHAINS; AGGREGATION; WEAK LUMPABILITY;

D O I：

10.1016/0304-4149(91)90091-P

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider an irreducible and homogeneous Markov chain (discrete time) with finite state space. Given a partition of the state space, it is of interest to know if the aggregated process constructed from the first one with respect to the partition is also Markov homogeneous. We give a characterization of this situation by means of a finite algorithm. This algorithm computes the set of all initial probability distributions of the starting homogeneous Markov chain leading to an aggregated homogeneous Markov chain.

引用

页码：195 / 204

页数：10