Drift conditions and invariant measures for Markov chains
نویسنده
چکیده
We consider the classical Foster–Lyapunov condition for the existence of an invariant measure for a Markov chain when there are no continuity or irreducibility assumptions. Provided a weak uniform countable additivity condition is satis/ed, we show that there are a /nite number of orthogonal invariant measures under the usual drift criterion, and give conditions under which the invariant measure is unique. The structure of these invariant measures is also identi/ed. These conditions are of particular value for a large class of non-linear time series models. c © 2001 Elsevier Science B.V. All rights reserved.
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