Quantitative convergence rates for sub-geometric Markov chains
Probability
2014-03-18 v2
Abstract
We provide explicit expressions for the constants involved in the characterisation of ergodicity of sub-geometric Markov chains. The constants are determined in terms of those appearing in the assumed drift and one-step minorisation conditions. The result is fundamental for the study of some algorithms where uniform bounds for these constants are needed for a family of Markov kernels. Our result accommodates also some classes of inhomogeneous chains.
Cite
@article{arxiv.1309.0622,
title = {Quantitative convergence rates for sub-geometric Markov chains},
author = {Christophe Andrieu and Gersende Fort and Matti Vihola},
journal= {arXiv preprint arXiv:1309.0622},
year = {2014}
}
Comments
14 pages