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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  and
E. Seneta
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
Information
Bulletin of the Australian Mathematical Society , Volume 10 , Issue 2 , April 1974 , pp. 255 - 261
Copyright
Copyright © Australian Mathematical Society 1974

References

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