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Geometric Convergence Rates for Time-Sampled Markov Chains

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  • Jeffrey S. Rosenthal

    (University of Toronto)

Abstract

We consider time-sampled Markov chain kernels, of the form P μ =∑ n μ n P n . We prove bounds on the total variation distance to stationarity of such chains. We are motivated by the analysis of near-periodic MCMC algorithms.

Suggested Citation

  • Jeffrey S. Rosenthal, 2003. "Geometric Convergence Rates for Time-Sampled Markov Chains," Journal of Theoretical Probability, Springer, vol. 16(3), pages 671-688, July.
    • Handle: RePEc:spr:jotpro:v:16:y:2003:i:3:d:10.1023_a:1025672516474
    DOI: 10.1023/A:1025672516474
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    References listed on IDEAS

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    1. Roberts, G. O. & Tweedie, R. L., 1999. "Bounds on regeneration times and convergence rates for Markov chains," Stochastic Processes and their Applications, Elsevier, vol. 80(2), pages 211-229, April.
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    Keywords

    Markov chains; MCMC algorithms;

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