June 2015 Quantitative convergence rates for subgeometric Markov chains
Christophe Andrieu, Gersende Fort, Matti Vihola
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J. Appl. Probab. 52(2): 391-404 (June 2015). DOI: 10.1239/jap/1437658605

Abstract

We provide explicit expressions for the constants involved in the characterisation of ergodicity of subgeometric Markov chains. The constants are determined in terms of those appearing in the assumed drift and one-step minorisation conditions. The results are fundamental for the study of some algorithms where uniform bounds for these constants are needed for a family of Markov kernels. Our results accommodate also some classes of inhomogeneous chains.

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Christophe Andrieu. Gersende Fort. Matti Vihola. "Quantitative convergence rates for subgeometric Markov chains." J. Appl. Probab. 52 (2) 391 - 404, June 2015. https://doi.org/10.1239/jap/1437658605

Information

Published: June 2015
First available in Project Euclid: 23 July 2015

zbMATH: 1323.60090
MathSciNet: MR3372082
Digital Object Identifier: 10.1239/jap/1437658605

Subjects:
Primary: 60J05
Secondary: 60J22

Keywords: inhomogeneous , Markov chain , polynomial ergodicity , Subgeometric ergodicity

Rights: Copyright © 2015 Applied Probability Trust

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Vol.52 • No. 2 • June 2015
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