The Annals of Applied Probability

Polynomial Convergence Rates of Markov Chains

Søren F. Jarner and Gareth O. Roberts

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Abstract

In this paper we consider Foster–Liapounov-type drift conditions for Markov chains which imply polynomial rate convergence to stationarity in appropriate V-norms. We also show how these results can be used to prove central limit theorems for functions of the Markov chain. We consider two examples concerning random walks on the half line and the independence sampler.

Article information

Source
Ann. Appl. Probab. Volume 12, Number 1 (2002), 224-247.

Dates
First available in Project Euclid: 12 March 2002

Permanent link to this document
http://projecteuclid.org/euclid.aoap/1015961162

Digital Object Identifier
doi:10.1214/aoap/1015961162

Mathematical Reviews number (MathSciNet)
MR1890063

Zentralblatt MATH identifier
1012.60062

Subjects
Primary: 60J05: Discrete-time Markov processes on general state spaces 60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

Keywords
Markov chains Foster-Liapounov drift conditiosn polynomial convergence central limit theorems independence sampler

Citation

Jarner, Søren F.; Roberts, Gareth O. Polynomial Convergence Rates of Markov Chains. Ann. Appl. Probab. 12 (2002), no. 1, 224--247. doi:10.1214/aoap/1015961162. http://projecteuclid.org/euclid.aoap/1015961162.


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