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Geometric Convergence Rates for Time-Sampled Markov Chains

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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.

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Authors and Affiliations

  1. Department of Statistics, University of Toronto, Toronto, Ontario, Canada, M5S 3G3

    Jeffrey S. Rosenthal

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  1. Jeffrey S. Rosenthal
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Rosenthal, J.S. Geometric Convergence Rates for Time-Sampled Markov Chains. Journal of Theoretical Probability 16, 671–688 (2003). https://doi.org/10.1023/A:1025672516474

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