Empirical convergence rates for continuous-time Markov chains
2001 ◽
Vol 38
(1)
◽
pp. 262-269
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Keyword(s):
We consider the problem of estimating the rate of convergence to stationarity of a continuous-time, finite-state Markov chain. This is done via an estimator of the second-largest eigenvalue of the transition matrix, which in turn is based on conventional inference in a parametric model. We obtain a limiting distribution for the eigenvalue estimator. As an example we treat an M/M/c/c queue, and show that the method allows us to estimate the time to stationarity τ within a time comparable to τ.
2001 ◽
Vol 38
(01)
◽
pp. 262-269
◽
1968 ◽
Vol 5
(03)
◽
pp. 669-678
◽
2003 ◽
Vol 40
(04)
◽
pp. 970-979
◽
1988 ◽
Vol 2
(2)
◽
pp. 267-268
2009 ◽
Vol 46
(02)
◽
pp. 497-506
◽
2009 ◽
Vol 3
(3)
◽
pp. 1204-1231
◽
Keyword(s):