Practical drift conditions for subgeometric rates of convergence. (Q1879912)

Let \((X,{\mathcal B})\) be a measurable space, \(P\) a transition kernel on it, supposed \(\psi\)-irreducible (with a maximal \(\psi\)) and aperiodic. If \(\xi\) is a measure on \({\mathcal B}\), \(a\) a probability on \({\mathbb N}\), then a set \(C\in {\mathcal B}\) is called \(\xi_{a}\)-petite if \(\sum_{n\geq 0}a_{n}P^{n}(x,B)\geq\xi (B)\) for all \(x\in C\), \(B\in {\mathcal B}\). Condition \(D(\varphi , V,C)\), where \(V:X\rightarrow [1,\infty ]\), \(\varphi :[1,\infty ]\rightarrow (0,\infty ]\) is concave, nondecreasing and differentiable, \(C\in {\mathcal B}\), means the existence of a constant \(b\) with \(PV+\varphi\circ V\leq V+b1_{C}\). \({\mathcal Y}\) is defined as the set of pairs \((\Psi_{1},\Psi_{2})\), \(\Psi_{i}\) defined on \([1,\infty )\), ultimately nondecreasing, one of them tending to \(\infty\) at \(\infty\), such that \(\Psi_{1}(x)\Psi_{2}(y)\leq x+y\). For a measure \(\mu\) on \({\mathcal B}\) and a \(f:X\rightarrow [1,\infty )\), \(\|\mu\|_{f}\) is defined as \(\sup_{| g| \leq f}\,| \int gd\mu | \). The main result, proved after seven lemmas, states: if \(D(\varphi ,V,C)\) holds, \(\varphi '\rightarrow 0\) at \(\infty\), \(C\) is petite, \(\sup_{C} V <\infty\) and if \((\Psi_{1},\Psi_{2})\in {\mathcal Y}\), then there exists an invariant probability \(\pi\) and, for \(x\in (V<\infty )\), \(\lim_{n}\Psi_{1}(r_{\varphi }(n))\| P^{n}(x,\cdot )-\pi\|_{\Psi_{2}(\varphi\circ V)}=0\), where \(r_{\varphi }\) is \(\varphi\circ K_{\varphi }\), \(K_{\varphi }\) being the inverse of \(\int_{_{1}}^{^{\cdot }}dx/\varphi (x)\). Also that every probability \(\lambda\) on \({\mathcal B}\) with \(\int Vd\lambda <\infty\) is \((\Psi_{2}(\varphi\circ V),\Psi_{1}(r_{\varphi }))\)-regular, i.e. \(E_{\lambda }(\sum_{k=0}^{^{\tau }B}\Psi_{1}(r_{\varphi }(k))\Psi_{2}(\varphi\circ V(\Phi_{k}))<\infty\), for all \(B\in {\mathcal B}\), \(\psi (B) > 0\), where \(\tau_{B}\) is the first \(\geq 1\) visit in \(B\) of the \(P\)-chain \(\Phi_{k}\), and there exists a constant \(c\) such that, if \(\mu\) is another such \(\lambda\), \[ \sum_{n\geq 0}\Psi_{1}(r_{\varphi }(n))\int\int\lambda (dx)\mu (dy)\| P^{n}(x,\cdot )- P^{n}(y,\cdot )\|_{\Psi_{2}(\varphi\circ V)}\leq c\int Vd(\lambda +\mu ). \] As applications (supposing \(D(\varphi ,V,C)\)): \(\varphi (t)=ct^{\alpha }\), \(\alpha\in [0,1)\), \(c\in (0,1]\), \(\Psi_{1}(t)=(qt)^{q}\), \(\Psi_{2}(t)= (pt)^{p}\), \(p\in (0,1)\), \(q=1-p\) (polynomial rates of convergence), \(\varphi (t)=c(1+\log t)^{\alpha }\), \(\alpha\geq 0\), \(c\in (0,1]\) and same \(\Psi\)'s (logarithmic rates), \(\varphi\) concave, differentiable, \(\varphi (t)=ct/\log^{\alpha }\,t\) for \(t\geq t_{0}\), \(\alpha >0\), \(c>0\) (subexponential rates). The above when \(X= {\mathbb N},P(n,i)=0\) for \(i\neq 0,n+1\) (\(D(\varphi ,V,C)\) is shown to hold). Hastings-Metropolis algorithm: \(P(x,A) =\int_{_{A}}\alpha (x,x+y) q(y)d\mu (y)+c 1_{A}(x)\), \(\alpha (x . y)=\min(1,\pi (y)/\pi (x))\), \(\mu\) being the Lebesgue measure on \(X={\mathbb R}^{d}\) and \(\pi\) a probability density function (for it and for the following it is proved, as theorems, that \(D(\varphi ,V,C)\) is valid, in each case under some conditions, for some \(\varphi ,V,C\)). Nonlinear autoregressive model: \(\Phi_{n+1}=g(\Phi_{n})+\varepsilon_{n+1}\); \(\varepsilon_{n} {\mathbb R}^{d}\)-valued, independent, identically distributed, \(E\varepsilon =0\), \(E(e^{z| \varepsilon | ^{\gamma }}) <\infty\), \(\gamma\in (0,1]\), \(g\) continuous, \(| g(t)| <| t| (1-r| t| ^{-\varrho })\), \(\varrho\in [0,2)\), for \(| t| \geq R_{0}\). Stochastic unit root: \(\Phi_{n+1}= 1_{(U_{n+1}\leq g(\Phi_{n}))}\Phi_{n} +\varepsilon_{n+1}\), \(U_{n}\) independent, all uniformly distributed on \([0,1]\).