The censored Markov chain, also called watched Markov chain, was first considered
by Lévy [1951, 1952, 1958]. Since then, the censored Markov chains have been very useful
in the study of Markov chains. Kemeny, Snell and Knapp [1976] applied the censoring
technique to show that each recurrent Markov chain has a positive regular measure
unique to multiplication by a scalar. Freedman [1983] used the censoring technique
to approximate countable Markov chains for the limiting behavior and also for
more general issues. The censoring technique has been successfully applied to block-structured
Markov chains and Markov renewal processes. The book by Q.L. Li [2010] is an excellent overview on this research direction.

2011-11-13

The censoring technique

author;Quan-Lin Li

Source: Original

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