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.
Publié le : 2002-02-14
Classification:
Markov chains,
Foster-Liapounov drift conditiosn,
polynomial convergence,
central limit theorems,
independence sampler,
60J05,
60J10
@article{1015961162,
author = {Jarner, S\o ren F. and Roberts, Gareth O.},
title = {Polynomial Convergence Rates of Markov Chains},
journal = {Ann. Appl. Probab.},
volume = {12},
number = {1},
year = {2002},
pages = { 224-247},
language = {en},
url = {http://dml.mathdoc.fr/item/1015961162}
}
Jarner, Søren F.; Roberts, Gareth O. Polynomial Convergence Rates of Markov Chains. Ann. Appl. Probab., Tome 12 (2002) no. 1, pp. 224-247. http://gdmltest.u-ga.fr/item/1015961162/