On convergence rate for homogeneous Markov chains
Probability
2021-11-02 v1
Abstract
Improved rates of convergence for ergodic homogeneous Markov chains are studied. In comparison to the earlier papers the setting is also generalised to the case without a unique dominated measure. Examples are provided where the new bound is compared with the classical Markov -- Dobrushin inequality and with the second eigenvalue of the transition matrix for finite state spaces.
Cite
@article{arxiv.1905.06145,
title = {On convergence rate for homogeneous Markov chains},
author = {Alexander Veretennikov and Maria Veretennikova},
journal= {arXiv preprint arXiv:1905.06145},
year = {2021}
}
Comments
10 pages, 19 references