Polynomial Convergence Rates of Markov Chains (original) (raw)
February 2002 Polynomial Convergence Rates of Markov Chains
Søren F. Jarner,Gareth O. Roberts
Ann. Appl. Probab. 12(1): 224-247 (February 2002). DOI: 10.1214/aoap/1015961162
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.
Citation
Søren F. Jarner. Gareth O. Roberts. "Polynomial Convergence Rates of Markov Chains." Ann. Appl. Probab. 12 (1) 224 - 247, February 2002. https://doi.org/10.1214/aoap/1015961162
Information
Published: February 2002
First available in Project Euclid: 12 March 2002
Digital Object Identifier: 10.1214/aoap/1015961162
Subjects:
Primary: 60J05, 60J10
Keywords: central limit theorems, Foster-Liapounov drift conditiosn, independence sampler, Markov chains, Polynomial convergence
Rights: Copyright © 2002 Institute of Mathematical Statistics
Vol.12 • No. 1 • February 2002
