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August 2004 Practical drift conditions for subgeometric rates of convergence
Randal Douc, Gersende Fort, Eric Moulines, Philippe Soulier
Ann. Appl. Probab. 14(3): 1353-1377 (August 2004). DOI: 10.1214/105051604000000323


We present a new drift condition which implies rates of convergence to the stationary distribution of the iterates of a ψ-irreducible aperiodic and positive recurrent transition kernel. This condition, extending a condition introduced by Jarner and Roberts [Ann. Appl. Probab. 12 (2002) 224–247] for polynomial convergence rates, turns out to be very convenient to prove subgeometric rates of convergence. Several applications are presented including nonlinear autoregressive models, stochastic unit root models and multidimensional random walk Hastings–Metropolis algorithms.


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Randal Douc. Gersende Fort. Eric Moulines. Philippe Soulier. "Practical drift conditions for subgeometric rates of convergence." Ann. Appl. Probab. 14 (3) 1353 - 1377, August 2004.


Published: August 2004
First available in Project Euclid: 13 July 2004

zbMATH: 1082.60062
MathSciNet: MR2071426
Digital Object Identifier: 10.1214/105051604000000323

Primary: 60J10

Keywords: Markov chains , rate of convergence , stationary distribution

Rights: Copyright © 2004 Institute of Mathematical Statistics


Vol.14 • No. 3 • August 2004
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