Coefficients of ergodicity for imprecise Markov chaines
Damjan Škulj, Robert Hable · 2009
Coecients of ergodicity are an important tool in measuring convergence of Markov chains. We ex- plore possibilities to generalise the concept to impre- cise Markov chains. We nd that this can be done in at least two dierent ways, which both have in- teresting implications in the study of convergence of imprecise Markov chains. Thus we extend the exist- ing denition of the uniform coecient of ergodicity and dene a new so-called weak coecient of ergod- icity. The denition is based on the endowment of a structure of a metric space to the class of imprecise probabilities. We show that this is possible to do in some dierent ways, which turn out to coincide.