Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1151398 | Statistics & Probability Letters | 2015 | 7 Pages |
Abstract
We consider strong limit theorems for Markov chains in bi-infinite random environments. We first give a new proof of a strong limit theorem of Liu and Yang (1995) on the average of functions of non-homogeneous Markov chains by constructing a nonnegative martingale. As corollaries, for a Markov chain in a bi-infinite random environment, we obtain strong limit theorems for the conditional relative entropy and for the number of times that the Markov chain and related processes reach a given point.
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Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Wei Liu, Chaoqun Ma, Yingqiu Li, Suming Wang,