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August 2007 Computable convergence rates for sub-geometric ergodic Markov chains
Randal Douc, Eric Moulines, Philippe Soulier
Bernoulli 13(3): 831-848 (August 2007). DOI: 10.3150/07-BEJ5162

Abstract

In this paper, we give quantitative bounds on the f-total variation distance from convergence of a Harris recurrent Markov chain on a given state space under drift and minorization conditions implying ergodicity at a subgeometric rate. These bounds are then specialized to the stochastically monotone case, covering the case where there is no minimal reachable element. The results are illustrated with two examples, from queueing theory and Markov Chain Monte Carlo theory.

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Randal Douc. Eric Moulines. Philippe Soulier. "Computable convergence rates for sub-geometric ergodic Markov chains." Bernoulli 13 (3) 831 - 848, August 2007. https://doi.org/10.3150/07-BEJ5162

Information

Published: August 2007
First available in Project Euclid: 7 August 2007

zbMATH: 1131.60065
MathSciNet: MR2348753
Digital Object Identifier: 10.3150/07-BEJ5162

Rights: Copyright © 2007 Bernoulli Society for Mathematical Statistics and Probability

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Vol.13 • No. 3 • August 2007
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