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Computable convergence rates for sub-geometric ergodic Markov chains

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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.

Original languageEnglish
Pages (from-to)831-848
Number of pages18
JournalBernoulli
Volume13
Issue number3
DOIs
Publication statusPublished - 1 Dec 2007

Keywords

  • Markov chains
  • Rates of convergence
  • Stochastic monotonicity

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