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A Characterisation of Transient Random Walks on Stochastic Matrices with Dirichlet Distributed Limits

  • S. McKinlay (a1)

Abstract

We characterise the class of distributions of random stochastic matrices X with the property that the products X(n)X(n − 1) · · · X(1) of independent and identically distributed copies X(k) of X converge almost surely as n → ∞ and the limit is Dirichlet distributed. This extends a result by Chamayou and Letac (1994) and is illustrated by several examples that are of interest in applications.

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Copyright

Corresponding author

Postal address: Department of Mathematics and Statistics, University of Melbourne, Parkville 3010, Australia. Email address: s.mckinlay@ms.unimelb.edu.au.

References

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A Characterisation of Transient Random Walks on Stochastic Matrices with Dirichlet Distributed Limits

  • S. McKinlay (a1)

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