Electronic Journal of Probability

Three Kinds of Geometric Convergence for Markov Chains and the Spectral Gap Property

Wolfgang Stadje and Achim Wübker

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In this paper we investigate three types of convergence for geometrically ergodic Markov chains (MCs) with countable state space, which in general lead to different `rates of convergence'. For reversible Markov chains it is shown that these rates coincide. For general MCs we show some connections between their rates and those of the associated reversed MCs. Moreover, we study the relations between these rates and a certain family of isoperimetric constants. This sheds new light on the connection of geometric ergodicity and the so-called spectral gap property, in particular for non-reversible MCs, and makes it possible to derive sharp upper and lower bounds for the spectral radius of certain non-reversible chains

Article information

Electron. J. Probab., Volume 16 (2011), paper no. 34, 1001-1019.

Accepted: 20 April 2011
First available in Project Euclid: 1 June 2016

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Zentralblatt MATH identifier

Primary: 60J10: Markov chains (discrete-time Markov processes on discrete state spaces)

Markov chains geometric ergodicity speed of convergence

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Stadje, Wolfgang; Wübker, Achim. Three Kinds of Geometric Convergence for Markov Chains and the Spectral Gap Property. Electron. J. Probab. 16 (2011), paper no. 34, 1001--1019. doi:10.1214/EJP.v16-900. https://projecteuclid.org/euclid.ejp/1464820203

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