Regular perturbation of v -geometrically ergodic markov chains

Abstract

In this paper, new conditions for the stability of V -geometrically ergodic Markov chains are introduced. The results are based on an extension of the standard perturbation theory formulated by Keller and Liverani. The continuity and higher regularity properties are investigated. As an illustration, an asymptotic expansion of the invariant probability measure for an autoregressive model with independent and identically distributed noises (with a nonstandard probability density function) is obtained. © Applied Probability Trust 2013.