Ergodic averages for monotone functions using upper and lower dominating processes Jesper Møller Department of Mathematical Sciences, Aalborg University, Denmark. Kerrie Mengersen Department of Mathematical Sciences, Queensland University of Technology, Australia. Summary. We show how the mean of a monotone function (defined on a state space equipped with a partial ordering) can be estimated, using ergodic averages calculated from upper and lower dominating processes of a stationary irreducible Markov chain.
- ergodic averages for monotone functions
- finite state space ω
- asymptotic variance for the ergodic average
- confidence intervals for the mean
- lower dominating processes
- estimates
- bounds
- mean
- chain