Explicit bounds for geometric convergence of Markov chains

Explicit bounds for geometric convergence of Markov chains

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Article ID: iaor2004680
Country: United States
Volume: 37
Issue: 3
Start Page Number: 642
End Page Number: 651
Publication Date: Sep 2000
Journal: Journal of Applied Probability
Authors:
Keywords: statistics: sampling
Abstract:

This paper presents bounds on convergence rates of Markov chains in terms of quantities calculable directly from chain transition operators. Bounds are constructed by creating a probability distribution that minorizes the transition 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 cases than previous similar results. These bounds are applied to a Markov chain useful in frequentist conditional inference in canonical generalized linear models.

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