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Computation of the stationary distribution of an infinite stochastic matrix of special form

Published online by Cambridge University Press:  17 April 2009

G.H. Golub
Affiliation:
Department of Computer Science, Stanford University, California, USA
E. Seneta
Affiliation:
Department of Statistics, School of General Studies, Australian National University, Canberra, ACT.
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An algorithm is presented for computing the unique stationary distribution of an infinite regular stochastic matrix of a structural form subsuming both upper-Hessenberg and generalized renewal matrices of this kind. Convergence is elementwise, monotone from above, from information within finite truncations, of increasing order.

Type
Research Article
Copyright
Copyright © Australian Mathematical Society 1974

References

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