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# Questions tagged [ergodic]

An ergodic dynamic system or stochastic process is one in which time averages agree with averages over the state space of the process.

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128 views

### Stationary Distribution of Multiplicative Autoregressive Model

I know for the additive autoregressive model the stationary distribution of $\{X_t\}$ can be found, if it exists, in the following way: \begin{align} X_t &= \alpha X_{t-1} + \epsilon_t\\ \...
28 views

### Do measurable maps preserve stationary ergodicity?

In a recent effort to establish stationary ergodicity for a certain stochastic process, I just happened to come across a statement, which I find to be little bit confounding. Given two measurable ...
66 views

### How do I test a (mathematical) system of equations for ergodicity?

I have a set of equations, which I can plot in for example Matlab. I would like to test for ergodicity: how can I do this? Similar questions have been asked here and here, but it is not very clear ...
25 views

### Is the Metropolis-Hastings kernel always aperiodic, irreducible and geometrically ergodic?

Let $(E,\mathcal E,\lambda)$ be a measure space, $Q$ be a Markov kernel on $(E,\mathcal E)$ with $$Q(x,B)=\int_B\lambda({\rm d}y)q(x,y)\;\;\;\text{for all }(x,B)\in E\times\mathcal E$$ for some ...
161 views

### Determine whether a time series is ergodic

How to determine if this time series is ergodic? According to the ergodic theorem the mean must converge to the expected value starting point. How do I determine that? Hoverever I have plotted the ...
204 views

### Markov chain which is also a projection

Let $P$ be the transition matrix of a Markov chain, and assume that $P^2=P$. One immediate conclusion is that $P=P^\infty$. Furthermore, assume that there is a state $i$ such as each state $j$ (...
34 views

### Calculate of Lyapunov Exponents of a sequence of random matrices

Let $(\Omega,\mathcal{F},\mathbb{P}):=(M^{\mathbb{N}_{0}},\mathcal{M}^{\mathbb{N}_{0}},\mathbb{P})$ be a probability space where $M=\left\{0,1,2,3,4\right\}$, $\mathcal{M}^{\mathbb{N}_{0}}$ is product ...
77 views

### Transformations on sets of measure zero in probability space

Given a probability space $(X, \Sigma,\mu, T)$, where $\mu$ is a probability measure, $\Sigma$ is a sigma algebra on $X$, and $T$ is a transformation, then a 'measure preserving transformation' is one ...
393 views

### What does non-ergodicity mean for Bayesian statistics?

As said in the title, what would non-ergodicity mean for Bayesian satistics, and if the process being investigated is non-ergodic, how would Bayesian methods tackle this process - would it be ...
35 views

### Does a Metropolis-Hastings chain always obey a central limit theorem?

Let $(E,\mathcal E,\lambda)$ be a measure space, $Q$ be a Markov kernel on $(E,\mathcal E)$ with $$Q(x,B)=\int_B\lambda({\rm d}y)q(x,y)\;\;\;\text{for all }(x,B)\in E\times\mathcal E$$ for some ...
28 views

### Magnitude of non-ergodicity effect on the individual's risk of bankruptcy

Dr. Ole Peters presents the concept of (non-)ergodicity with the following gambling example: You're given $\$100$to play a game where you toss a coin once a minute. If it comes up heads, you win$50\...
60 views

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### What is Ergodic Variance

I am curious as to the definition of ergodic variance in relation to an estimate of some parameter. It was mentioned to me by a teacher although I have not been able to find any references to it.
26 views

### Do we need ergodic-stationarity of the response variable in OLS spline regression?

I was wondering if we need the response variable to be ergodic stationarity when estimating an OLS spline regression. My intuition tells me that it's not needed but I would like to have a confirmation ...
22 views

### Prior/degree of belief/degree of lack-of-information/algorithms/complexity

For a long time I had a bit of difficulty understanding what "degree of belief" means. Recently I had some thoughts about it and I wonder if they make any sense, or is there some literature about ...
24 views

### Stationary and ergodic r.v: relation between error and independent variable

In time series often hold the condition that a r.v. is stationary and ergodic, allowing the application of the law of large number. If in a model as: Y= a + bX + u ...
85 views

### Within-chain and between-chain average difference in MCMC simulation

I have done 400 repetitions of a particular MCMC simulation (Metropolis–Hastings algorithm) to get a quantity of interest $N$. The simulation reaches its steady-state after ~$10^5$ iterations. The ...
I have a question regarding the ergodicity of a transformation. Given a probability space, $(X,\Sigma,\mu,T_{N})$ where, $({T_{N})}_{n\geqslant 0}$ And T is some ordered transformation ...
Let $H_1$ and $H_2$ be two instances of a finite Hidden Markov Model (HMM) $H$. That is, $H_1$ and $H_2$ have identical state spaces $Q$ as well as identical transition $A$ and emission probabilities \$...