Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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On Doubly Stochastically Perturbed Dynamical Systems

  • Oesook Lee (Professor Department of Statistics Ewha Womans University)
  • Published : 1999.04.01
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Abstract

We consider a doubly stochastically perturbed dynamical system {$X_n$} generated by $X_n\Gamma_n(X_{n-1})+W_n where \Gamma_n$ is a Markov chain of random functions and $W_n$ is i.i.d. random elements. Sufficient conditions for stationarity and geometric ergodicity of $X_n$ are obtained by considering asymptotic behaviours of the associated Markov chain. Ergodic theorem and functional central limit theorem are proved.

Keywords

References

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