Bounds on regeneration times and convergence rates for Markov chains (Q1593619)

Let \(\{X_{n}\}_{n\geq 0}\) be a \(\pi \)-irreducible Markov chain on a general state space \(S\), \(\pi \) being an invariant measure. Denote by \(P^{n}\) the \(n\)-step transition function and let \(C\) be a small set, satisfying the minorisation condition \(P(x,\cdot) \geq \varepsilon \varphi \), \(x\in C\), for some \(\varepsilon >0\) and a probability measure \(\varphi \). In many applications, it is of primary importance to establish the geometric ergodicity of the chain, that is, to prove that \[ \|P^{n}(x,\cdot) -\pi \|\leq M(x)\rho ^{n}, \qquad x\in S,\tag{1} \] for some \(M(x)<\infty \) and \(\rho < 1\), where \(\|\cdot \|\) denotes the total variation norm of a signed measure. Many methods of obtaining (1) are based on the knowledge of the tail properties of the time \(T\) of the first regeneration according to the distribution \(\varphi \). New bounds on the tails of \(T\) are obtained in terms of the first hitting time of the set \(C\) and of Foster-Lyapunov functions \(V\) satisfying \(E_{\bullet} V(X_{1}) \leq \lambda V + b\mathbf 1_{C}\), \(b<\infty \), \(\lambda <1\). This leads to new bounds on \(\rho \) in (1), which are shown to be in many cases better than those obtained previously by \textit{J. S. Rosenthal} [J. Am. Stat. Assoc. 90, No. 430, 558-566 (1995; Zbl 0824.60077)] and \textit{S. P. Meyn} and \textit{R. L. Tweedie} [Ann. Appl. Probab. 4, No. 4, 981-1011 (1994; Zbl 0812.60059)].