JSM 2005 Online Program

Abstract #304764

This is the preliminary program for the 2005 Joint Statistical Meetings in Minneapolis, Minnesota. Currently included in this program is the "technical" program, schedule of invited, topic contributed, regular contributed and poster sessions; Continuing Education courses (August 7-10, 2005); and Committee and Business Meetings. This on-line program will be updated frequently to reflect the most current revisions.

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Activity Number:	195
Type:	Contributed
Date/Time:	Monday, August 8, 2005 : 2:00 PM to 3:50 PM
Sponsor:	IMS
Abstract - #304764
Title:	Occupation Times for a Class of Nonstationary Markov Chains
Author(s):	Zachariah Dietz*+ and Sunder Sethuraman
Companies:	Tulane University and Iowa State University
Address:	5420 Garfield St, New Orleans, LA, 70115, United States
Keywords:	nonstationary Markov chains ; occupation times ; dirichlet
Abstract:	Given a finite state space Sigma, a transition kernel P on Sigma, and an initial distribution pi, consider the class of all nonstationary Markov chains on Sigma whose transition kernels converge pointwise to P. This class contains those frequently incorporated in stochastic optimization schemes, such as the Metropolis algorithm. In an effort to investigate the general case where P is unrestricted, one may focus on a particular class of chains whose target kernel P is the identity. In the case the transition probabilities between states are fast, summable, and being interpreted, the typical behavior of the chain is trivial and depends on initial conditions. The case when the transitions are slow, on the order of 1/n^c for c>0, but small, is well understood as these chains fall into the domain of the Metropolis algorithm. However, the most difficult case seems to be when the transitions between states are on the order 1/n. To be concrete, the joint distribution of the occupation times on each state is investigated.

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