arXiv:1905.06145 Abstract | arXiv Analytics

arXiv:1905.06145 [math.PR]Abstract References Reviews Resources

On convergence rate for homogeneous Markov chains

Alexander Veretennikov, Maria Veretennikova

Published 2019-05-15Version 1

Improved rates of convergence for ergodic homogeneous Markov chains are studied. In comparison to the earlier papers the setting is also generalised to the case without a unique dominated measure. Examples are provided where the new bound is compared with the classical Markov -- Dobrushin inequality and with the second eigenvalue of the transition matrix for finite state spaces.

Comments: 10 pages, 19 references

Categories: math.PR

Subjects: 60J05, 60J10

Keywords: convergence rate, finite state spaces, ergodic homogeneous markov chains, unique dominated measure, earlier papers

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