Equivalences of Geometric Ergodicity of Markov Chains

被引:0
|
作者
Gallegos-Herrada, Marco A. [1 ]
Ledvinka, David [1 ]
Rosenthal, Jeffrey S. [1 ]
机构
[1] Univ Toronto, Dept Stat & Math, Toronto, ON, Canada
基金
加拿大自然科学与工程研究理事会;
关键词
Markov chain; Geometric ergodicity; Convergence rate; Drift condition; Spectral gap; CONVERGENCE-RATES; LIMIT-THEOREMS; HASTINGS;
D O I
10.1007/s10959-023-01240-1
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
This paper gathers together different conditions which are all equivalent to geometric ergodicity of time-homogeneous Markov chains on general state spaces. A total of 34 different conditions are presented (27 for general chains plus 7 for reversible chains), some old and some new, in terms of such notions as convergence bounds, drift conditions, spectral properties, etc., with different assumptions about the distance metric used, finiteness of function moments, initial distribution, uniformity of bounds, and more. Proofs of the connections between different conditions are provided, somewhat self-contained but using some results from the literature where appropriate.
引用
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页码:1230 / 1256
页数:27
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