A Lea To Ire 67

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⇒ ∃α > 0 ∀y P(∃n ≥ 1 : Xn = y) ≥ α > 0

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X
= P(X1 6= x, . . . , Xn−1 6= x, Xn = y, ξn+1 ◦ y 6= x, ξn+2 ◦ ξn+1 ◦ y 6= x . . .)
y6=x
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y6=x
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y6=x

P(Tx = ∞) ≤ (1 − α)P(Tx = ∞) P(Tx = ∞) = 0.

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   
0.839 −0.303 −0.161 −0.136
A(1) =   , A(2) =  ,
0.383 0.924 0.138 −0.182
   
0.232 0.921
B(1) =   , B(2) =  
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0 0.16 0.23 0.22
   
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A(3) =   , A(4) =  ,
0.26 −0.04 0.85
0.24
       
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B(1) =   , B(2) =   , B(3) =   , B(4) =  
0 1.6 0.44 1.6
m(1) = 0.01, m(2) = 0.07, m(3) = 0.07, m(4) = 0.85

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φ−1 (y) = A−1 (y − µ).

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||φ−1 (y)||2 = hA−1 (y − µ), A−1 (y − µ)i = hA−1t A−1 (y − µ), (y − µ)i
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1
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det(K)
à
b
dc
d

e

+

A Lea To Ire 67

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A Lea To Ire 67

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Xn+1 = (Xn − 1)+ + ξn+1

P(Tx = ∞) ≤ (1 − α)P(Tx = ∞) P(Tx = ∞) = 0.

{e1 , . . . , ed , −e1 , . . . , −ed }.

P(T0 < ∞) < 1.

Xn+1 = AXn + B→X ∗ = AX ∗ + B

m(1) = 0.01, m(2) = 0.07, m(3) = 0.07, m(4) = 0.85

Xn+1 = Xn + ξn+1 , (ξn ) {−1, 1}.

µn+1 (x) = P(Xn+1 = x) =

gn = P(Xn = 0) 1 − gn = P(Xn = 1).

π(n) = π(n − 1)q2 + π(n)q1 + π(n + 1)q0

⇔ (π(n + 1) − π(n))q0 = (π(n) − π(n − 1))q2

[π(n + 1) − π(3)]q0 = [π(n) − π(2)]q2

π(2) = π(0)q2 + π(1)q2 + π(2)q1 + π(3)q0

q2 < q0 ⇔ E(ξ) < 1.

•XX t (XX t )i,j = Xi Xj

KX (i, j) = E((Xi − E(Xi ))(Xj − E(Xj )).

Var(hX, ai) = hKX a, ai = at KX a ≥ 0.

cov(hX, ai, hX, bi) = hKX a, bi.

cov(U, V ) = E [(U − E(U ))(V − E(V )] .

= E(ha, KX bi) = E(hb, KX ai).

hY, ai = hAX, ai = hX, At ai

cov(hY, ai, hY, bi) = cov(hX, At ai, hX, At bi)

= hKX At a, At bi = hAKX At a, bi.

•KX = AKη At = AAt .

ΦX (t) = E[exp(iht, Xi)] = E[exp i(ht, Aη + µi)] = E[exp i(ht, Aηi)]eiht,µi

||At t||2 = hAt t, At ti = hAAt t, ti = hKX t, ti.

⇒ X : g(y) = γ(φ−1 (y))|Jac(φ−1 )(y)|.

φ−1 (y) = A−1 (y − µ).

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