Practical drift conditions for subgeometric rates of convergence
Douc, Randal ; Fort, Gersende ; Moulines, Eric ; Soulier, Philippe
Ann. Appl. Probab., Tome 14 (2004) no. 1, p. 1353-1377 / Harvested from Project Euclid
We present a new drift condition which implies rates of convergence to the stationary distribution of the iterates of a ψ-irreducible aperiodic and positive recurrent transition kernel. This condition, extending a condition introduced by Jarner and Roberts [Ann. Appl. Probab. 12 (2002) 224–247] for polynomial convergence rates, turns out to be very convenient to prove subgeometric rates of convergence. Several applications are presented including nonlinear autoregressive models, stochastic unit root models and multidimensional random walk Hastings–Metropolis algorithms.
Publié le : 2004-08-14
Classification:  Markov chains,  stationary distribution,  rate of convergence,  60J10
@article{1089736288,
     author = {Douc, Randal and Fort, Gersende and Moulines, Eric and Soulier, Philippe},
     title = {Practical drift conditions for subgeometric rates of convergence},
     journal = {Ann. Appl. Probab.},
     volume = {14},
     number = {1},
     year = {2004},
     pages = { 1353-1377},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1089736288}
}
Douc, Randal; Fort, Gersende; Moulines, Eric; Soulier, Philippe. Practical drift conditions for subgeometric rates of convergence. Ann. Appl. Probab., Tome 14 (2004) no. 1, pp.  1353-1377. http://gdmltest.u-ga.fr/item/1089736288/