Explicit bounds for geometric convergence of Markov chains

Authors
Citation
Je. Kolassa, Explicit bounds for geometric convergence of Markov chains, J APPL PROB, 37(3), 2000, pp. 642-651
Citations number
17
Categorie Soggetti
Mathematics
Journal title
JOURNAL OF APPLIED PROBABILITY
ISSN journal
00219002 → ACNP
Volume
37
Issue
3
Year of publication
2000
Pages
642 - 651
Database
ISI
SICI code
0021-9002(200009)37:3<642:EBFGCO>2.0.ZU;2-S
Abstract
This paper presents bounds on convergence rates of Markov chains in terms o f quantities calculable directly from chain transition operators. Bounds ar e constructed by creating a probability distribution that minorizes the tra nsition kernel over some region, and by examining bounds on an expectation conditional on lying within and without this region. These are shown to be sharper in most cares than previous similar results. These bounds are appli ed to a Markov chain useful in frequentist conditional inference in canonic al generalized linear models.